Chilarescu, Constantin (2007): An Alternative Approach to Portfolio Selection Problem via Stochastic Differential Delay Equations.
Download (119kB) | Preview
This paper presents an alternative method to the portfolio selection problem. The central hypothesis is that the historical performance of the market can not be ignored. Consequently, we suppose that the price dynamics of any asset will be described by a stochastic differential delay equation: dP(t) = [aP(t) + bP (t − r)]dt + P(t)dW(t). We will illustrate our model by a numerical example and will compare the results with those derived from the classical model of Markowitz.
|Item Type:||MPRA Paper|
|Original Title:||An Alternative Approach to Portfolio Selection Problem via Stochastic Differential Delay Equations|
|Subjects:||G - Financial Economics > G1 - General Financial Markets > G11 - Portfolio Choice ; Investment Decisions
C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables
|Depositing User:||Constantin Chilarescu|
|Date Deposited:||04. Dec 2007 09:24|
|Last Modified:||24. Apr 2015 08:00|