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Remark on optimal investment in a market with memory
We consider a financial market model driven by a Gaussian semimartingale with stationary increments. This driving noise process consists of n independent components and each component has memory described by two parameters. We extend results of the authors on optimal investment in this market.
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Інститут математики НАН України
2007
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| Online Access: | http://dspace.nbuv.gov.ua/handle/123456789/4472 |
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| Summary: | We consider a financial market model driven by a Gaussian semimartingale with stationary increments. This driving noise process
consists of n independent components and each component has memory described by two parameters. We extend results of the authors
on optimal investment in this market. |
|---|