Remark on optimal investment in a market with memory
説明
We consider a financial market model driven by a Gaussian semimartingale with stationary increments. This driving noise process consists of independent components and each component has memory described by two parameters. We extend results of the authors on optimal investment in this market.
収録刊行物
-
- Hokkaido University Preprint Series in Mathematics
-
Hokkaido University Preprint Series in Mathematics 828 1-10, 2007
Department of Mathematics, Hokkaido University
- Tweet
キーワード
詳細情報 詳細情報について
-
- CRID
- 1390009224795387776
-
- NII論文ID
- 120006459532
-
- DOI
- 10.14943/83978
-
- HANDLE
- 2115/69637
-
- 本文言語コード
- en
-
- 資料種別
- departmental bulletin paper
-
- データソース種別
-
- JaLC
- IRDB
- CiNii Articles
-
- 抄録ライセンスフラグ
- 使用可