Optimal portfolio under fractional stochastic environment

DOI10.1111/mafi.12195zbMath1426.91245arXiv1703.06969OpenAlexW2605513858MaRDI QIDQ5241559

Ruimeng Hu, Jean-Pierre Fouque

Publication date: 31 October 2019

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1703.06969

zbMATH Keywords

optimal portfolioasymptotic optimalitymartingale distortionfractional stochastic processes

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Optimal stochastic control (93E20) Martingales with continuous parameter (60G44) Portfolio theory (91G10)

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