Optimal Portfolio Selection under the Short-range Fractional Brownian Motion

2009 International Conference on Computational Intelligence and Natural Computing ◽

10.1109/cinc.2009.159 ◽

2009 ◽

Author(s):

Jianwei Gao

Keyword(s):

Brownian Motion ◽

Fractional Brownian Motion ◽

Portfolio Selection ◽

Short Range ◽

Optimal Portfolio ◽

Optimal Portfolio Selection

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A Smooth Component of the Fractional Brownian Motion and Optimal Portfolio Selection

SSRN Electronic Journal ◽

10.2139/ssrn.2664075 ◽

2015 ◽

Author(s):

Nikolai Dokuchaev

Keyword(s):

Brownian Motion ◽

Fractional Brownian Motion ◽

Portfolio Selection ◽

Optimal Portfolio ◽

Smooth Component ◽

Optimal Portfolio Selection

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Merton's model of optimal portfolio in a Black-Scholes Market driven by a fractional Brownian motion with short-range dependence

Insurance Mathematics and Economics ◽

10.1016/j.insmatheco.2005.06.003 ◽

2005 ◽

Vol 37 (3) ◽

pp. 585-598 ◽

Author(s):

Guy Jumarie

Keyword(s):

Brownian Motion ◽

Fractional Brownian Motion ◽

Short Range ◽

Optimal Portfolio ◽

Black Scholes ◽

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Optimal Portfolio Selection in Nonlinear Arbitrage Spreads

SSRN Electronic Journal ◽

10.2139/ssrn.1617662 ◽

2010 ◽

Author(s):

Hamad Alsayed ◽

Frank McGroarty

Keyword(s):

Portfolio Selection ◽

Optimal Portfolio ◽

Optimal Portfolio Selection

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A Note on Optimal Portfolio Selection and Diversification Benefits with a Short Sale Restriction on Real Estate Assets

Journal of Real Estate Research ◽

10.1080/10835547.1992.12090687 ◽

1992 ◽

Vol 7 (4) ◽

pp. 493-501 ◽

Author(s):

Tsong-Yue Lai ◽

Ko Wang ◽

Su Chan ◽

Daniel Lee

Keyword(s):

Real Estate ◽

Portfolio Selection ◽

Optimal Portfolio ◽

Optimal Portfolio Selection ◽

Real Estate Assets

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Optimal portfolio selection and uncertain inflation

The Journal of Portfolio Management ◽

10.3905/jpm.1986.409083 ◽

1986 ◽

Vol 13 (1) ◽

pp. 44-49 ◽

Author(s):

Son-Nan Chen ◽

Reena Aggarwal

Keyword(s):

Portfolio Selection ◽

Optimal Portfolio ◽

Optimal Portfolio Selection

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Optimal portfolio selection in a Lévy market with uncontrolled cash flow and only risky assets

International Journal of Control ◽

10.1080/00207179.2012.735373 ◽

2013 ◽

Vol 86 (3) ◽

pp. 426-437 ◽

Author(s):

Yan Zeng ◽

Zhongfei Li ◽

Huiling Wu

Keyword(s):

Portfolio Selection ◽

Cash Flow ◽

Optimal Portfolio ◽

Risky Assets ◽

Optimal Portfolio Selection

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Optimal Portfolio Selection for an Investor with Asymmetric Attitude to Gains and Losses

Mathematical and Statistical Methods for Actuarial Sciences and Finance ◽

10.1007/978-3-319-50234-2_13 ◽

2017 ◽

pp. 157-169

Author(s):

Sergei Sidorov ◽

Andrew Khomchenko ◽

Sergei Mironov

Keyword(s):

Portfolio Selection ◽

Optimal Portfolio ◽

Optimal Portfolio Selection ◽

Selection For ◽

Gains And Losses ◽

Asymmetric Attitude

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Reaching goals under ambiguity: Continuous-time optimal portfolio selection

Statistics & Probability Letters ◽

10.1016/j.spl.2018.01.010 ◽

2018 ◽

Vol 137 ◽

pp. 63-69

Author(s):

Shaolin Ji ◽

Xiaomin Shi

Keyword(s):

Portfolio Selection ◽

Continuous Time ◽

Optimal Portfolio ◽

Time Optimal ◽

Optimal Portfolio Selection

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Correction on “Optimal portfolio selection when stock prices follow an jump-diffusion process”

Mathematical Methods of Operations Research ◽

10.1007/s00186-006-0139-4 ◽

2007 ◽

Vol 65 (3) ◽

pp. 559-564

Author(s):

Wenjing Guo ◽

Chengming Xu

Keyword(s):

Diffusion Process ◽

Portfolio Selection ◽

Stock Prices ◽

Jump Diffusion ◽

Optimal Portfolio ◽

Jump Diffusion Process ◽

Optimal Portfolio Selection

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A Dynamic Semiparametric Characteristics-based Model for Optimal Portfolio Selection

SSRN Electronic Journal ◽

10.2139/ssrn.3803193 ◽

2021 ◽

Author(s):

Gregory Connor ◽

Shaoran Li ◽

Oliver B. Linton

Keyword(s):

Portfolio Selection ◽

Optimal Portfolio ◽

Optimal Portfolio Selection

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