Logo of Humboldt-Universität zu BerlinLogo of Humboldt-Universität zu Berlin
edoc-Server
Open-Access-Publikationsserver der Humboldt-Universität
de|en
Header image: facade of Humboldt-Universität zu Berlin
View Item 
  • edoc-Server Home
  • Elektronische Zeitschriften
  • Stochastic Programming E-print Series (SPEPS)
  • Volume 2000
  • View Item
  • edoc-Server Home
  • Elektronische Zeitschriften
  • Stochastic Programming E-print Series (SPEPS)
  • Volume 2000
  • View Item
JavaScript is disabled for your browser. Some features of this site may not work without it.
All of edoc-ServerCommunity & CollectionTitleAuthorSubjectThis CollectionTitleAuthorSubject
PublishLoginRegisterHelp
StatisticsView Usage Statistics
All of edoc-ServerCommunity & CollectionTitleAuthorSubjectThis CollectionTitleAuthorSubject
PublishLoginRegisterHelp
StatisticsView Usage Statistics
View Item 
  • edoc-Server Home
  • Elektronische Zeitschriften
  • Stochastic Programming E-print Series (SPEPS)
  • Volume 2000
  • View Item
  • edoc-Server Home
  • Elektronische Zeitschriften
  • Stochastic Programming E-print Series (SPEPS)
  • Volume 2000
  • View Item
2000-04-13Buch DOI: 10.18452/8235
Time to wealth goals in capital accumulation
MacLean, Leonard C.
Ziemba, William T.
Li, Yuming
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.
Files in this item
Thumbnail
11.pdf — Adobe PDF — 98.93 Kb
MD5: 61708e68be0771b0e467fc2fd78d502a
11.ps — Postscript — 509.3 Kb
MD5: 5d713127d9734199b9d028abc816d867
Cite
BibTeX
EndNote
RIS
InCopyright
Details
DINI-Zertifikat 2019OpenAIRE validatedORCID Consortium
Imprint Policy Contact Data Privacy Statement
A service of University Library and Computer and Media Service
© Humboldt-Universität zu Berlin
 
DOI
10.18452/8235
Permanent URL
https://doi.org/10.18452/8235
HTML
<a href="https://doi.org/10.18452/8235">https://doi.org/10.18452/8235</a>