Portfolio optimization with consumption in a fractional Black-Scholes market
نویسندگان
چکیده
منابع مشابه
Portfolio Optimization with Consumption in a Fractional Black-scholes Market
We consider the classical Merton problem of finding the optimal consumption rate and the optimal portfolio in a Black-Scholes market driven by fractional Brownian motion B with Hurst parameter H > 1/2. The integrals with respect to B are in the Skorohod sense, not pathwise which is known to lead to arbitrage. We explicitly find the optimal consumption rate and the optimal portfolio in such a ma...
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Abstract. We study Merton’s classical portfolio optimization problem for an investor who can trade in a risk-free bond and a stock. The goal of the investor is to allocate money so that her expected utility from terminal wealth is maximized. The special feature of the problem studied in this paper is the inclusion of stochastic volatility in the dynamics of the risky asset. The model we use is ...
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ژورنال
عنوان ژورنال: Communications on Stochastic Analysis
سال: 2007
ISSN: 0973-9599
DOI: 10.31390/cosa.1.3.02