Optimal strategies for prudent investors (Q2703109)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal strategies for prudent investors |
scientific article |
Statements
28 February 2001
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investment
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utility maximization
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growth rates
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Lyapunov exponent
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Optimal strategies for prudent investors (English)
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The author regards a stochastic model of investment on a asset in a stock market for a prudent investor. The investor decides to buy permanent goods with a fraction \(\alpha\) of the maximum amount of money owned in his life in order that his economic level never decreases. The investor gets the optimal strategy by maximizing the exponential growth rate for a fixed \(\alpha\). Analytical expressions for the typical exponential growth rate of the capital and its fluctuation is derived by solving an one-dimensional random walk with drift.
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