Optimal Portfolio under Fast Mean-Reverting Fractional Stochastic Environment (Q4579834)
From MaRDI portal
scientific article; zbMATH DE number 6915870
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal Portfolio under Fast Mean-Reverting Fractional Stochastic Environment |
scientific article; zbMATH DE number 6915870 |
Statements
Optimal Portfolio under Fast Mean-Reverting Fractional Stochastic Environment (English)
0 references
10 August 2018
0 references
optimal portfolio
0 references
fractional Ornstein-Uhlenbeck process
0 references
long-range dependence
0 references
martingale distortion
0 references
asymptotic optimality
0 references
0 references
0 references
0 references
0 references
0 references
