Optimal Portfolio Series Formula under Dynamic Appreciation Rate Uncertainty
نویسندگان
چکیده
A closed-form series solution formula for the problem of optimal portfolio diversification under dynamic (possibly, long-term-memory) appreciation rate uncertainty, for an investor with HARA utility, is discovered. To that end a calculus of variations method, recently introduced by the author, was extended. The usefulness of the obtained result is examined by means of solving a few guiding examples.To that end we also introduce the notion of T -truncated fractional Brownian motion, and study its series expansions.
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تاریخ انتشار 2003