Acta mathematica scientia,Series A
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Liu Shaoyue; Yang Xiangqun
(Department of Mathematics, Xiangtan University, Xiangtan 411105)
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Abstract:
Based on the mathematical model for a Black-Scholes market driven by frctional Brownian motion BH(t) with arbitrary Hurst parameter H ∈ (0,1), The authors solve the optimal portfolio problem in such a market for an agent with utility functions of power type by using quansi-conditional expectation and the stochastic-gradient.
Key words: Fractional Brownian motion, Black-Scholes model, Optimal porfolio
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Liu Shaoyue; Yang Xiangqun. Optimal Portfolio in a Fractional Black-Scholes Model with Arbitrary Hurst Parameter[J].Acta mathematica scientia,Series A, 2008, 28(4): 742-746.
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http://121.43.60.238/sxwlxbA/EN/Y2008/V28/I4/742
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