edoc-Server der Humboldt-Universität zu Berlin

SPEPS Preprint

Author(s): Leonard C. MacLean, Dalhousie University
William T. Ziemba, University of British Columbia
Yuming Li, California State University at Fullerton
Title: Time to wealth goals in capital accumulation
Date of Acceptance: 13.04.2000
Submission Date: 03.02.2000
Series Title: Stochastic Programming E-Print Series
(SPEPS)
Editors: Julie L. Higle; Werner Römisch; Surrajeet Sen
Complete Preprint: pdf (urn:nbn:de:kobv:11-10057637)
ps (urn:nbn:de:kobv:11-10057648)
Metadata export: To export the complete metadata set as Endote or Bibtex format please click to the appropriate link. Endnote   Bibtex  
print on demand: If you click on this icon you can order a print copy of this publication. Bestellung als gedruckte und gebundene Version bei epubli.de, Ausführung der Bestellung erst nach Bestätigung auf den epubli.de-Seiten
Diese Seite taggen: These icons lead to social bookmarking systems where you can create and manage personal bookmarks and discover bookmakrs of other users.
  • connotea
  • del.icio.us
  • Furl
  • RawSugar

Abstract (eng):
This paper considers the problem of continuous investment of capital in risky assets over time. Using a Bayesian framework, a model for asset prices is developed where the current price dynamics depend on the history of realized prices. A dynamic Bayesian fractional Kelly strategy, where the investor rebalances the portfolio based on the performance to date, is shown to be optimal assuming that the risky assets are jointly lognormally distributed. The strategy minimizes the expected time to reach a wealth goal while maintaining a high probability of reaching that goal before falling to a subsistence level of wealth.
Access Statistics: These data concerning access statistics for individual documents have been compiled using the webserver log files aggregated by AWSTATS. They refer to a monthly access count to the full text documents as well as to the entry page.
 
As for format versions of a document which consist of multiple files (such as HTML) the highest monthly access number to one of the files (chapters) is shown respectivly.
 
To see the detailled access numbers please move the mouse pointer over the single bars of the digaram.
Startseite: 1 ZugriffePDF: 6 ZugriffePDF: 1 ZugriffeStartseite: 1 ZugriffePDF: 3 ZugriffeStartseite: 1 ZugriffePDF: 2 ZugriffePDF: 3 ZugriffePDF: 2 ZugriffePDF: 2 ZugriffeStartseite: 1 ZugriffePDF: 3 ZugriffeStartseite: 3 ZugriffePDF: 7 ZugriffeStartseite: 3 ZugriffePDF: 1 ZugriffePDF: 1 ZugriffeStartseite: 3 ZugriffePDF: 1 ZugriffePDF: 5 ZugriffePDF: 4 ZugriffeStartseite: 3 ZugriffePDF: 3 ZugriffePDF: 5 ZugriffeStartseite: 2 ZugriffePDF: 5 ZugriffePDF: 7 ZugriffePDF: 5 ZugriffePDF: 16 ZugriffePDF: 22 Zugriffe
May
11		Jun
11		Jul
11		Aug
11		Sep
11		Oct
11		Nov
11		Dec
11		Jan
12		Feb
12		Apr
12		May
12		Jun
12		Jul
12		Aug
12		Sep
12		Oct
12		Nov
12		Dec
12		Jan
13		Apr
13

MonatMay
11		Jun
11		Jul
11		Aug
11		Sep
11		Oct
11		Nov
11		Dec
11		Jan
12		Feb
12		Apr
12		May
12		Jun
12		Jul
12		Aug
12		Sep
12		Oct
12		Nov
12		Dec
12		Jan
13		Apr
13
Startseite1 11   133 3  3 2    
PDF61323223711154355751622

Gesamtzahl der Zugriffe seit May 2011:

  • Startseite – 18 (0.86 pro Monat)
  • PDF – 104 (4.95 pro Monat)
    •  
 
Generated at 26.05.2013, 02:00:45

edoc-Server der Humboldt-Universität zu Berlin  •  Impressum  •  edoc@cms.hu-berlin.de  •  Nutzungsbedingungen  •  Haftungsausschluss  •  Statistik