1998/04/28 by R. Baviera, Roberto Baviera, M. Pasquini +9
Economics, Econometrics and Finance · Physics and Astronomy · #Advanced Thermodynamics and Statistical Mechanics #Complex Systems and Time Series Analysis #Disordered Systems and Neural Networks (cond-mat.dis-nn) #FOS: Economics and business #FOS: Physical sciences #Portfolio Management (q-fin.PM) #Stochastic processes and financial applications #cond-mat.dis-nn #q-fin.PM
paper · pdf · doi:10.48550/arxiv.cond-mat/9804297
14 pages, LaTeX, epsfig.sty, 7 eps figures, minor changes; accepted for International J. of Theoretical and Applied Finance
openalex publication_date 1998/04/28 · arxiv created 1998/07/20 · arxiv updated 2009/11/30 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
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.