Optimal Strategies for Prudent Investors
Disordered Systems and Neural Networks
2009-09-25 v2 Portfolio Management
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 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 . 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.
Cite
@article{arxiv.cond-mat/9804297,
title = {Optimal Strategies for Prudent Investors},
author = {R. Baviera and M. Pasquini and M. Serva and A. Vulpiani},
journal= {arXiv preprint arXiv:cond-mat/9804297},
year = {2009}
}
Comments
14 pages, LaTeX, epsfig.sty, 7 eps figures, minor changes; accepted for International J. of Theoretical and Applied Finance