Journal of Computational Finance

Risk.net

Optimal portfolio series formula under dynamic appreciation rate uncertainty

Srdjan D. Stojanovic

ABSTRACT

A closed-form series solution formula for the problem of optimal portfolio diversification under dynamic (possibly, long-term-memory) appreciation rate uncertainty, for an investor with Hara utility, is found. To that end a calculus of variations method, recently introduced by the author, was extended. The usefulness of the obtained result is examined by means of example solutions to a few guiding problems. To that end we also introduce the notion of T-truncated fractional Brownian motion and study its series expansions.

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an indvidual account here: