Optimal long-term investment model with memory

DOI10.1007/s00245-006-0867-0zbMath1216.91029arXivmath/0506621OpenAlexW2156138048MaRDI QIDQ870507

Akihiko Inoue, Yumiharu Nakano

Publication date: 12 March 2007

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0506621

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Non-Markovian processes: estimation (62M09) Point estimation (62F10) Stationary stochastic processes (60G10) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Portfolio theory (91G10)

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Explicit solution to a certain non-ELQG risk-sensitive stochastic control problem ⋮ Representation theorems in finite prediction, with applications ⋮ A note on long-term optimal portfolios under drawdown constraints ⋮ AR and MA representation of partial autocorrelation functions, with applications ⋮ Risk-sensitive portfolio optimization with two-factor having a memory effect

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