Dept. Math, Hokkaido Univ. EPrints Server

Remark on optimal investment in a market with memory

Preprint Series # 828
Inoue, Akihiko and Nakano, Yumiharu Remark on optimal investment in a market with memory. (2007);

[img]PDF - Requires a PDF viewer such as GSview, Xpdf or Adobe Acrobat Reader
217Kb

Abstract

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.

Item Type:Preprint
Additional Information:0
Uncontrolled Keywords:Optimal investment, long term investment, processes with memory, processes with stationary increments, Riccati equations.
Subjects:91-xx GAME THEORY, ECONOMICS, SOCIAL AND BEHAVIORAL SCIENCES
ID Code:1676