|
|
Log-optimal investment
Král, Stanislav ; Dostál, Petr (advisor) ; Večeř, Jan (referee)
1. Abstrakt Suppose we have a capital, which we will redistribute into investment op- portunities. The financial valuation of these investments will be a sequence of independent, identically distributed random vectors that acquire finite amount of values. We will have full knowledge of the entire history of these valuations before each investment. It turns out that if our strategy is to always maximizes the mean value of the logarithm of the investment value, denoted by Λ∗ , then this strategy is asymptotically the best one possible. If strategy Λ is not asymptotically close to Λ∗ and if x goes to infinity, then the mean of the time we earn atleast x using Λ∗ is infinitely smaller than the time if we used Λ. We also earn infinitely times more money using the strategy Λ∗ . 1
|
|
|
Log-optimal investment
Král, Stanislav ; Dostál, Petr (advisor) ; Večeř, Jan (referee)
Suppose we have capital, which we will redistribute into investment oppor- tunities. The financial valuation of these investments will form a sequence of independent, identically distributed random vectors taking values in some clo- sed, positive interval. We will have full knowledge of the entire history of these valuations before each investment. It turns out that if our strategy is to always maximize the mean value of the logarithm return on these investments, then this strategy is in a sense asymptotically optimal. 1
|
|
|
Log-optimal investment
Král, Stanislav ; Dostál, Petr (advisor) ; Večeř, Jan (referee)
1. Abstrakt Suppose we have a capital, which we will redistribute into investment op- portunities. The financial valuation of these investments will be a sequence of independent, identically distributed random vectors that acquire finite amount of values. We will have full knowledge of the entire history of these valuations before each investment. It turns out that if our strategy is to always maximizes the mean value of the logarithm of the investment value, denoted by Λ∗ , then this strategy is asymptotically the best one possible. If strategy Λ is not asymptotically close to Λ∗ and if x goes to infinity, then the mean of the time we earn atleast x using Λ∗ is infinitely smaller than the time if we used Λ. We also earn infinitely times more money using the strategy Λ∗ . 1
|
|
| |
|
| |
guest ::
