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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.
| Titolo: | Optimal strategies for prudent investors. |
| Autori: | |
| Data di pubblicazione: | 1998 |
| Rivista: | |
| 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 |
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