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Log-optimal portfolios with memory effect

Tuesday, March 27, 2018 at 11:40am - 12:45pm

Zsolt Nika; Pazmany Peter Catholic University

I am going to talk about an investment problem with logarithmic

utility function where we take into consideration the so-called

'memory effect' in the stock price dynamics. While general theories of

log-optimal investment are well-elaborated, there is a lack of

construction for the optimal strategy in parametric models. I will

present an algorithm for a broad class of stock prices with

two examples and then I will show how the parameters related to

'memory effect' affect the optimal solution.

The two examples for stock price dynamics will be presented in detail

and also that the algorithm is computationally feasible.
Location   Hill 705

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HillCenter

Mathematical Finance Master's Program

Department of Mathematics, Hill 348
Hill Center for Mathematical Sciences
Rutgers, The State University of New Jersey
110 Frelinghuysen Road
Piscataway, NJ 08854-8019

Email: finmath (at) rci.rutgers.edu
Phone: +1.848.445.3920
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