Mathematical Finance and Probability Seminars
Log-optimal portfolios with memory effect
Zsolt Nika, Pazmany Peter Catholic University
Location: Hill 705
Date & time: Tuesday, 27 March 2018 at 11:40AM - 12:45PM
Abstract: 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.