Optimal portfolios based on weakly dependent data

DOI10.3934/proc.2015.1041zbMath1382.91088OpenAlexW2322893194MaRDI QIDQ260956

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

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 modelstrong mixingdifference equationportfolio theory

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)

Related Items (1)

Approximation of solutions of multi-dimensional linear stochastic differential equations defined by weakly dependent random variables

Cites Work

• Strong approximation for a class of stationary processes
• Asymptotic Behavior of Solutions of Some Difference Equations Defined by Weakly Dependent Random Vectors
• An approximation of partial sums of independent RV'-s, and the sample DF. I
• Unnamed Item
• Unnamed Item

This page was built for publication: Optimal portfolios based on weakly dependent data