Dept. Math, Hokkaido Univ. EPrints Server

Optimal long term investment model with memory

Preprint Series # 732
Inoue, Akihiko and Nakano, Yumiharu Optimal long term investment model with memory. (2005);

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Abstract

We consider an investment model with memory in which the prices of n risky assets are driven by an n-dimensional Gaussian process with stationary increments that is different from Brownian motion. The driving process consists of n independent components, and each component is characterized by two parameters describing the memory. For the model, we explicitly solve the problem of maximizing the expected growth rate as well as that of maximizing the probability of overperforming a given benchmark

Item Type:Preprint
Additional Information:10
Subjects:91-xx GAME THEORY, ECONOMICS, SOCIAL AND BEHAVIORAL SCIENCES
ID Code:1006