The continuous-time optimal portfolio using a multivariate normal inverse Gaussian model

被引：0

作者：

Yu, Xing ^{[1
]}

Chen, Guohua ^{[1
]}

机构：

[1] Department of Mathematics and Applied Mathematics, Hunan university of humanities, science and technology, Loudi, China

来源：

Computer Modelling and New Technologies | 2014年 / 18卷 / 07期

关键词：

Continuous time systems - Gaussian distribution - Inverse problems - Monte Carlo methods - Codes (symbols);

D O I：

暂无

中图分类号：

学科分类号：

摘要：

This paper develops the continuous-time portfolio model using a multivariate normal inverse Gaussian model. Though the weighted average of lognormal variables is no longer lognormal, it can be approximated by other distributions, such as a multivariate normal inverse Gaussian model. Our method belongs to the analytic approximation class. By comparing to Monte Carlo experiments, it illustrates the computational efficiency and accuracy of our approach.

引用

页码：322 / 324

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