On optimal investment with processes of long or negative memory (Q1743336)
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scientific article; zbMATH DE number 6859460
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | On optimal investment with processes of long or negative memory |
scientific article; zbMATH DE number 6859460 |
Statements
On optimal investment with processes of long or negative memory (English)
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13 April 2018
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optimal investment
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power utility functions
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Fréchet-differentiable function
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drift of price process
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Banach space
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non-Markovian driving processes
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fractional Brownian motion
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0.8383159041404724
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0.8310115337371826
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0.8117386698722839
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0.7744670510292053
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0.769120454788208
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