An outperforming investment strategy under fractional Brownian motion
Qiang Liu, Yun Xiang, Yonghong Zhao
| Year of publication: |
2019
|
|---|---|
| Authors: | Liu, Qiang ; Xiang, Yun ; Zhao, Yonghong |
| Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 47.2019, p. 505-515
|
| Subject: | Fractional Brownian motion | Investing-horizon dependence | Kelly fraction | Kelly investing strategy | Lifetime portfolio selection | Portfolio-Management | Portfolio selection | Stochastischer Prozess | Stochastic process | Theorie | Theory | Anlageverhalten | Behavioural finance |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2018.06.009 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012120123