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TERRA ECONOMICUS

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  • 2011
  • No 1.2
  • The impact of distribution laws of risky asset’s prices on optimal portfolio strategies

The impact of distribution laws of risky asset’s prices on optimal portfolio strategies

TERRA ECONOMICUS, , Vol. 9 (no. 1.2),
p. 41-45

The paper proposes the model of financial investment, allowing to analyze optimal portfolio strategies in stochastic investment opportunities taking account of jumps of risky assets prices of large amplitude.


Keywords: modeling; optimization; stochastic investment opportunities

References:
  • Шарп У., Александер Г., Бейли Д. Инвестиции / Пер. с англ. М.: ИНФРА-М, 2003.
  • Ширяев А.Н. Основы стохастической финансовой математики. Т. 1, 2. М.: Наука, 1998.
  • Сampbell J.Y., Viceira L.M. Consumption and portfolio decisions when expected returns are time-varying // Quarterly Journal of Economics. 1999. Vol. 114. № 2. pp. 433–495.
Publisher: Southern Federal University
Founder: Southern Federal University
ISSN: 2073-6606