Optimal Investment Strategy for Risky Assets

Simple item page
dc.creatorMaslov, Sergei
dc.creatorZhang, Yi-Cheng
dc.date1998-01-23
dc.date.accessioned2026-07-07T12:07:07Z
dc.date.available2026-07-07T12:07:07Z
dc.descriptionWe 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 volatility of an asset are relevant indicators determining its optimal weight. Our results are particularly relevant for very risky assets when traditional continuous-time Gaussian portfolio theories are no longer applicable.
dc.description11 pages, 1 figure, submitted to International Journal of Theoretical and Applied Finance
dc.identifierhttps://arxiv.org/abs/cond-mat/9801240
dc.identifierhttp://arxiv.org/abs/cond-mat/9801240
dc.identifierInternational Journal of Theoretical and Applied Finance 1,377 (1998).
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208858
dc.subjectStatistical Mechanics
dc.subjectDisordered Systems and Neural Networks
dc.subjectPortfolio Management
dc.titleOptimal Investment Strategy for Risky Assets
dc.typetext

Files

Collections

arXiv