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

초록

We define some multi-type asset models derived from L´evy processes 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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