Physics – Condensed Matter – Disordered Systems and Neural Networks
Scientific paper
1998-04-28
Physics
Condensed Matter
Disordered Systems and Neural Networks
14 pages, LaTeX, epsfig.sty, 7 eps figures, minor changes; accepted for International J. of Theoretical and Applied Finance
Scientific paper
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.
Baviera Roberto
Pasquini Michele
Serva Maurizio
Vulpiani Angelo
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