Appleby, John; Riedle, Markus; Swords, Catherine - In: Finance and Stochastics 17 (2013) 1, pp. 1-30
This paper studies the asymptotic behaviour of an affine stochastic functional differential equation modelling the evolution of the cumulative return of a risky security. In the model, the traders of the security determine their investment strategy by comparing short- and long-run moving...