Stochastic version of the rule "Buy and Hold"

Stochastic version of the rule "Buy and Hold"

Fri, 23/10/2009
14:15 		Albert Shiryaev (Steklov) Nomura Seminar Add to calendar DH 1st floor SR
Stochastic version of the rule "Buy and Hold"
For a logarithmic utility function we extend our rezult with Xu and Zhou for case of the geometrical Brownian motion with drift term which depends of the some hidden parameter.