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研究了允许卖空的离散时间金融市场,从有风险控制和无风险控制两个方面得到市场满足ρ-混合序列的条件下,其log-最优资产组合的几个性质.
This paper studies several properties of log-optimal portfolio under the condition that the market satisfies the ρ-mixing sequence from two aspects of risk control and risk-free control, which allow short-selling discrete-time financial markets.