An Alternative Approach to Portfolio Selection Problem via Stochastic Differential Delay Equations
An Alternative Approach to Portfolio Selection Problem via Stochastic Differential Delay Equations
Author(s): Ioana ViașuSubject(s): Evaluation research
Published by: Alma Mater & Universitatea »Babes Bolyai« Cluj - Facultatea de St. Economice si Gestiunea Afacerilor
Keywords: portfolio selection; stochastic differential delay equations;
Summary/Abstract: This paper presents an alternative method to the portfolio selection problem. The central hypothesis is that the historical performance of the market cannot 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+σP(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.
Journal: Review of Economic Studies and Research Virgil Madgearu
- Issue Year: VIII/2015
- Issue No: 2
- Page Range: 125-136
- Page Count: 12
- Language: English
- Content File-PDF
