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Expected gains in the MacQueen–Heyde model
- Source :
-
Statistics & Probability Letters . Jul2009, Vol. 79 Issue 14, p1634-1636. 3p. - Publication Year :
- 2009
-
Abstract
- Abstract: We consider an investment model based on MacQueen–Heyde martingales and find the asymptotics of the expected gains for regular or informed investors. [Copyright &y& Elsevier]
Details
- Language :
- English
- ISSN :
- 01677152
- Volume :
- 79
- Issue :
- 14
- Database :
- Academic Search Index
- Journal :
- Statistics & Probability Letters
- Publication Type :
- Periodical
- Accession number :
- 42103192
- Full Text :
- https://doi.org/10.1016/j.spl.2009.04.001