Mathematical Finance and Probability Seminars
Log-optimal portfolios with memory effect
Tuesday, March 27, 2018 at 11:40am - 12:45pm
Zsolt Nika; Pazmany Peter Catholic University
utility function where we take into consideration the so-called
'memory effect' in the stock price dynamics. While general theories of
log-optimal investment are well-elaborated, there is a lack of
construction for the optimal strategy in parametric models. I will
present an algorithm for a broad class of stock prices with
two examples and then I will show how the parameters related to
'memory effect' affect the optimal solution.
The two examples for stock price dynamics will be presented in detail
and also that the algorithm is computationally feasible.