Optimal Investment Strategy for Risky Assets
نویسندگان
چکیده
منابع مشابه
Optimal Investment Strategy for Risky Assets
We design an optimal strategy for investment in a portfolio of assets subject to a multiplicative Brownian motion. The strategy provides the maximal typical long-term growth rate of investor’s capital. We determine the optimal fraction of capital that an investor should keep in risky assets as well as weights of different assets in an optimal portfolio. In this approach both average return and ...
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This paper studies the optimal investment problem for an insurer in an incompletemarket.The insurer’s risk process ismodeled by a Lévy process and the insurer is supposed to have the option of investing inmultiple risky assets whose price processes are described by the standard Black-Scholes model. The insurer aims to maximize the expected utility of terminal wealth. After the market is complet...
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We consider the optimal intertemporal consumption and investment policy of a constant absolute risk aversion (CARA) investor who faces fixed and proportional transaction costs when trading multiple risky assets. We show that when asset returns are uncorrelated, the optimal investment policy is to keep the dollar amount invested in each risky asset between two constant levels and upon reaching e...
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This paper studies the optimal investment problem for utility maximization with multiple risky assets under the constant elasticity of variance (CEV) model. By applying stochastic optimal control approach and variable change technique, we derive explicit optimal strategy for an investor with logarithmic utility function. Finally, we analyze the properties of the optimal strategy and present a n...
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To a decisionmaker facing a choice over a set of risky prospects the issue of ‘flexibility’, i.e., the ability to postpone other decisions until after the uncertainty is resolved, is a crucial one. Tisdell (1963) for example, has shown that the well known ‘preference’ of a risk neutral firm for random over constant prices (with the same mean) reduces to indifference when it is assumed that the ...
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ژورنال
عنوان ژورنال: International Journal of Theoretical and Applied Finance
سال: 1998
ISSN: 0219-0249,1793-6322
DOI: 10.1142/s0219024998000217