Optimal portfolio under fast mean-reverting fractional stochastic environment (Q4579834)
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scientific article; zbMATH DE number 6915870
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| 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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0.883726954460144
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0.8786885738372803
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0.7947710752487183
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0.794548511505127
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0.7943739295005798
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