Testing the biased geometric Brownian motionTools Danswasvong, Thepdanai (2009) Testing the biased geometric Brownian motion. [Dissertation (University of Nottingham only)] (Unpublished)
AbstractThis dissertation proposes a new stock price model “The biased geometric Brownian motion”. In short, the biased geometric Brownian motion is a normal geometric Brownian motion with a newly introduced “biased factor”. The forecasting performance of the biased geometric Brownian motion was tested in order to evaluate whether the efficient portfolio which is constructed from prediction of share prices from this new model will outperforms an optimal portfolio created from the current or past information.
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