Bianchi, Sergio; Pantanella, Alexandre; Pianese, Augusto - Facultatea de Finante şi Banci, Universitatea Spiru Haret - 2009
We introduce the selection of financial portfolios in a nonstationary Gaussian framework that assumes the price process to be modelled by a multifractional Brownian motion (mBm). This process captures the time-changing regularity of the sample paths as a result of the impact of the new...