2020/05/14 by Miklós Rásonyi, Rásonyi, Miklós, Lóránt Nagy +1
Economics, Econometrics and Finance · Mathematics · #91G10 #91G80 #Complex Systems and Time Series Analysis #Economic theories and models #FOS: Mathematics #Financial Markets and Investment Strategies #Probability (math.PR) #Stochastic processes and financial applications #math.PR #msc:91G10 #msc:91G80
paper · pdf · doi:10.48550/arxiv.2005.07080
12 pages
openalex publication_date 2020/05/14 · arxiv created 2021/04/25 · arxiv updated 2021/04/27 · openalex created_date 2022/07/26 · openalex updated_date 2026/07/28
In a discrete-time financial market model with instantaneous price impact, we find an asymptotically optimal strategy for an investor maximizing her expected wealth. The asset price is assumed to follow a process with negative memory. We determine how the optimal growth rate depends on the impact parameter and on the covariance decay rate of the price.