The impact of distribution laws of risky asset’s prices on optimal portfolio strategies
Dzhangirov A.P.
TERRA ECONOMICUS, 2011, 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
Founder: Southern Federal University
ISSN: 2073-6606