An Alternative Approach to Portfolio Selection Problem via Stochastic Differential Delay Equations
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.
|Date of creation:||04 Dec 2007|
|Date of revision:|
|Contact details of provider:|| Postal: |
Web page: http://mpra.ub.uni-muenchen.de
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:6080. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ekkehart Schlicht)
If references are entirely missing, you can add them using this form.