Merton's model of optimal portfolio in a Black-Scholes market driven by a fractional Brownian motion with short-range dependence

DOI10.1016/j.insmatheco.2005.06.003zbMath1104.91034OpenAlexW2021110296MaRDI QIDQ817295

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Publication date: 8 March 2006

Published in: (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2005.06.003

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