New results on the trading rule "Buy and Hold"

Description:  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. Start Date:  2009-09-30 Start Time:   15:00 Speaker:  Albert Shiryaev (Steklov Mathematical Institute, Moscow, Russia) Institution:  Steklov Mathematical Institute See more:   <Main>