CINECA IRIS Institutional Research Information System
IRIS è la soluzione IT che facilita la raccolta e la gestione dei dati relativi alle attività e ai prodotti della ricerca. Fornisce a ricercatori, amministratori e valutatori gli strumenti per monitorare i risultati della ricerca, aumentarne la visibilità e allocare in modo efficace le risorse disponibili.
EnglishWe consider a stochastic model of investment on an asset in a stock market for a prudent investor. she decides to buy permanent goods with a fraction α of the maximum amount of money owned in her life in order that her economic level never decreases. The optimal strategy is obtained by maximizing the exponential growth rate for a fixed α. We derive analytical expressions for the typical exponential growth rate of the capital and its fluctuations by solving an one-dimensional random walk with drift.
http://hdl.handle.net/11697/17791| Titolo: | Optimal strategies for prudent investors. |
| Autori interni: | SERVA, Maurizio |
| Data di pubblicazione: | 1998 |
| Rivista: | INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE |
| Abstract: | We consider a stochastic model of investment on an asset in a stock market for a prudent investor. she decides to buy permanent goods with a fraction α of the maximum amount of money owned in her life in order that her economic level never decreases. The optimal strategy is obtained by maximizing the exponential growth rate for a fixed α. We derive analytical expressions for the typical exponential growth rate of the capital and its fluctuations by solving an one-dimensional random walk with drift. |
| Handle: | http://hdl.handle.net/11697/17791 |
| Appare nelle tipologie: | 1.1 Articolo in rivista |
File in questo prodotto:
Copyright © 2017