Log-optimal portfolios with memory effect

DOI10.1080/1350486X.2018.1542323MaRDI QIDQ5742509zbMATH OpenOpenAlexWikidataFDO

Authors Zsolt Nika, Miklós Rásonyi

Publication date 15 May 2019

Published in Applied Mathematical Finance (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.1080/1350486x.2018.1542323

zbMATH Keywords

discrete Gaussian stochastic volatilitygrowth optimalinvestment strategyonline algorithmportfolio theory

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

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Cites work

• Adaptive estimation of the dynamics of a discrete time stochastic volatility model
• ARCH-type bilinear models with double long memory.
• Asymptotic optimality and asymptotic equipartiton properties of log- optimum investment
• Elements of Information Theory
• Empirical log-optimal portfolio selections: a survey
• Empirical properties of asset returns: stylized facts and statistical issues
• Error bounds for rolling horizon policies in discrete-time Markov control processes
• Exposition of a New Theory on the Measurement of Risk
• Handbook of Financial Time Series
• scientific article; zbMATH DE number 2230347 (Why is no real title available?)
• Iterated Random Functions
• KERNEL-BASED SEMI-LOG-OPTIMAL EMPIRICAL PORTFOLIO SELECTION STRATEGIES
• Long memory in continuous-time stochastic volatility models
• Online portfolio selection: a survey
• Risk-sensitive investment management
• The detection and estimation of long memory in stochastic volatility
• The Distribution of Realized Exchange Rate Volatility
• Volatility is rough

Cited in

(9)

• How helpful is a long memory on financial markets?
• Digital portfolio theory
• A consumption and investment problem via a Markov decision processes approach with random horizon
• A new method to solve the Hamilton-Jacobi-Bellman equation for a stochastic portfolio optimization model with boundary memory
• Portfolio optimization with behavioural preferences and investor memory
• An explicit solution for optimal investment problems with autoregressive prices and exponential utility
• Remark on optimal investment in a market with memory
• Risk-sensitive portfolio optimization with two-factor having a memory effect
• Optimal long-term investment model with memory

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