Optimal Portfolio under Fast Mean-Reverting Fractional Stochastic Environment (Q4579834)
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scientific article; zbMATH DE number 6915870
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal Portfolio under Fast Mean-Reverting Fractional Stochastic Environment |
scientific article; zbMATH DE number 6915870 |
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Optimal Portfolio under Fast Mean-Reverting Fractional Stochastic Environment (English)
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10 August 2018
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optimal portfolio
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fractional Ornstein-Uhlenbeck process
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long-range dependence
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martingale distortion
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asymptotic optimality
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