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DOI QR Code

OPTIMAL PORTFOLIO FOR MULTI-TYPE ASSET MODELS USING FILTERED VARIOUS INFORMATION

  • Oh, Jae-Pill (Department of Mathematiccs, Kangwon National University)
  • Received : 2011.05.31
  • Accepted : 2011.12.18
  • Published : 2011.12.25

Abstract

We define some multi-type asset models derved from L$\acute{e}$vy proceses which emphasize coefficients of stochastic differential equations. Also these asset models can be represented by Doleance-Dade linear equations derived from jump-type semimartingales which are decomposed by various terms of time basically. For these asset models, we can construct optimal portfolio strategy by using filtered various information at each check time.

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