Optimal portfolios based on weakly dependent data

DOI10.3934/proc.2015.1041zbMath1382.91088MaRDI QIDQ260956

Hiroshi Takahashi, Ken-ichi Yoshihara, Shuya Kanagawa, Tatsuhiko Saigo

Publication date: 22 March 2016

Published in: Discrete and Continuous Dynamical Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/proc.2015.1041

zbMATH Keywords

Black-Scholes model; strong mixing; difference equation; portfolio theory

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60H30: Applications of stochastic analysis (to PDEs, etc.)

91G10: Portfolio theory