Optimal Strategies for Prudent Investors
Abstract
We consider a stochastic model of investment on an asset of a stock market for a prudent investor. She decides to buy permanent goods with a fraction $\a$ 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 $\a$. 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.
- Publication:
-
arXiv e-prints
- Pub Date:
- April 1998
- DOI:
- 10.48550/arXiv.cond-mat/9804297
- arXiv:
- arXiv:cond-mat/9804297
- Bibcode:
- 1998cond.mat..4297B
- Keywords:
-
- Condensed Matter - Disordered Systems and Neural Networks;
- Quantitative Finance - Portfolio Management
- E-Print:
- 14 pages, LaTeX, epsfig.sty, 7 eps figures, minor changes