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Application of Stochastic Flows to Optimal Portfolio Strategies
http://hdl.handle.net/2261/7521
http://hdl.handle.net/2261/75211adb6079-12af-40c4-b29c-4e67957b60ea
名前 / ファイル | ライセンス | アクション |
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jms120302.pdf (283.9 kB)
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Item type | 紀要論文 / Departmental Bulletin Paper(1) | |||||
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公開日 | 2008-03-04 | |||||
タイトル | ||||||
タイトル | Application of Stochastic Flows to Optimal Portfolio Strategies | |||||
言語 | ||||||
言語 | eng | |||||
資源タイプ | ||||||
資源 | http://purl.org/coar/resource_type/c_6501 | |||||
タイプ | departmental bulletin paper | |||||
著者 |
Fukaya, Ryuji
× Fukaya, Ryuji |
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抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | The author proposes a new algorithm using a stochastic flow technique to solve an optimal portfolio and consumption problem for a single-agent in a Markovian security market setting.In that class, optimal feedback portfolio strategies are computed by the system of stochastic differential equations, which are induced by applying the differential rule of a composite function to stochastic flows. Sufficient conditions for the existence of feedback solutions are stated using integrability of stochastic processes. In the case of power and logarithmic utility functions, more straightforward conditions are given and the continuity of optimal strategies is proved. | |||||
書誌情報 |
Journal of mathematical sciences, the University of Tokyo 巻 12, 号 3, p. 349-397, 発行日 2005-11-17 |
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ISSN | ||||||
収録物識別子タイプ | ISSN | |||||
収録物識別子 | 13405705 | |||||
書誌レコードID | ||||||
収録物識別子タイプ | NCID | |||||
収録物識別子 | AA11021653 | |||||
フォーマット | ||||||
内容記述タイプ | Other | |||||
内容記述 | application/pdf | |||||
日本十進分類法 | ||||||
主題 | 415 | |||||
主題Scheme | NDC | |||||
Mathmatical Subject Classification | ||||||
90A09(MSC1991) | ||||||
Mathmatical Subject Classification | ||||||
60H30(MSC1991) | ||||||
出版者 | ||||||
出版者 | Graduate School of Mathematical Sciences, The University of Tokyo | |||||
原稿受領日 | ||||||
2005-04-12 |