Optimal Portfolio under Fast Mean-Reverting Fractional Stochastic Environment
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Publication:4579834
DOI10.1137/17M1134068zbMath1410.91414arXiv1706.03139MaRDI QIDQ4579834
Jean-Pierre Fouque, Ruimeng Hu
Publication date: 10 August 2018
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1706.03139
long-range dependenceoptimal portfolioasymptotic optimalityfractional Ornstein-Uhlenbeck processmartingale distortion
Fractional processes, including fractional Brownian motion (60G22) Optimal stochastic control (93E20) Martingales with continuous parameter (60G44) Portfolio theory (91G10)
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