Effects of correlations and fees in random multiplicative environments: Implications for portfolio management.
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DOI: 10.1103/physreve.96.022305
Abstract: Geometric Brownian motion (GBM) is frequently used to model price dynamics of financial assets, and a weighted average of multiple GBMs is commonly used to model a financial portfolio. Diversified portfolios can lead to an… read more here.
Keywords: effects correlations; correlations fees; portfolio; portfolio management ... See more keywords