Optimal portfolio under fractional stochastic environment
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Publication:5241559
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
Fractional processes, including fractional Brownian motion (60G22) Optimal stochastic control (93E20) Martingales with continuous parameter (60G44) Portfolio theory (91G10)
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