On optimal investment with processes of long or negative memory

DOI10.1016/j.spa.2017.07.006zbMath1407.91217arXiv1608.00768OpenAlexW2475624973MaRDI QIDQ1743336

Huy N. Chau, Miklós Rásonyi

Publication date: 13 April 2018

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1608.00768

zbMATH Keywords

fractional Brownian motionBanach spaceoptimal investmentdrift of price processFréchet-differentiable functionnon-Markovian driving processespower utility functions

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Fréchet and Gateaux differentiability in optimization (49J50) Banach spaces of continuous, differentiable or analytic functions (46E15) Portfolio theory (91G10)

Related Items (1)

Sensitivity analysis of the utility maximisation problem with respect to model perturbations

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