Optimal Investment Strategy for Risky Assets

DOI10.1142/S0219024998000217zbMath0909.90029arXivcond-mat/9801240MaRDI QIDQ4216120

Sergei Maslov, Yi-Cheng Zhang

Publication date: 28 December 1998

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/cond-mat/9801240

zbMATH Keywords

optimal portfoliorisky assetsmultiplicative Brownian motionoptimal fraction of capital

Mathematics Subject Classification ID

Related Items (12)

FINANCIAL FRICTION AND MULTIPLICATIVE MARKOV MARKET GAMES ⋮ On asymptotic log-optimal portfolio optimization ⋮ OPTIMAL LAG IN DYNAMICAL INVESTMENTS ⋮ A GENERAL METHODOLOGY TO PRICE AND HEDGE DERIVATIVES IN INCOMPLETE MARKETS ⋮ GROWTH-OPTIMAL STRATEGIES WITH QUADRATIC FRICTION OVER FINITE-TIME INVESTMENT HORIZONS ⋮ The Kelly system maximizes median fortune ⋮ Illusion of control in time-horizon minority and Parrondo games ⋮ Analysis of Kelly-optimal portfolios ⋮ Imperfect information as a source of non-symmetry in the two envelope problem ⋮ Developments in Parrondo’s Paradox ⋮ Gain from the two-envelope problem via information asymmetry: on the suboptimality of randomized switching ⋮ On Parrondo's paradox: how to construct unfair games by composing fair games

Cites Work

• A Mathematical Theory of Communication
• Investment policies for expanding businesses optimal in a long‐run sense
• Exposition of a New Theory on the Measurement of Risk

This page was built for publication: Optimal Investment Strategy for Risky Assets