Fractional growth portfolio investment

DOI10.1007/978-3-031-47417-0_23zbMATH Open1548.91105MaRDI QIDQ6630463

Anthony E. Brockwell

Publication date: 31 October 2024

zbMATH Keywords

Markowitz mean-variance optimizationfractional Kelly portfolios

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Fractional derivatives and integrals (26A33) Portfolio theory (91G10)

Cites Work

• Capital growth with security
• Survival and Growth with a Liability: Optimal Portfolio Strategies in Continuous Time
• Stochastic differential equations. An introduction with applications.
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