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- W2103188460 abstract "Given an asset with value St, we revisit the Black and Scholes dynamics when the driving noise ξt is a non-Gaussian super-diffusive stochastic process with variance of the type . This super-diffusive quadratic variance behavior, synthesizes a ballistic component which would occur in strongly fluctuating environments. When , the assets can, with high probability, be driven towards the bankruptcy . This extra dynamic feature significantly affects the management of an optimal portfolio. In this context, we focus on basic decisions like: 1) determine the optimal level to sell the asset; 2) determine how to balance a portfolio which incorporates such a high volatility asset; and 3) when facing incertitudes on the asset’s growth rate μ, construct an optimal adaptive portfolio control. In all mentioned cases and despite the presence of this highly non-Gaussian noise source, we are able to deliver simple exact and fully explicit optimal control rules." @default.
- W2103188460 created "2016-06-24" @default.
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- W2103188460 date "2013-01-01" @default.
- W2103188460 modified "2023-09-29" @default.
- W2103188460 title "Super-Diffusive Noise Source in Asset Dynamics" @default.
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- W2103188460 doi "https://doi.org/10.4236/jmf.2013.31004" @default.
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