Optimal lag in dynamical investments

Preprint English OPEN
M. Serva;
(1998)
  • Subject: Quantitative Finance - Portfolio Management | Condensed Matter - Disordered Systems and Neural Networks

A portfolio of different stocks and a risk-less security whose composition is dynamically maintained stable by trading shares at any time step leads to a growth of the capital with a nonrandom rate. This is the key for the theory of optimal-growth investment formulated ... View more
  • References (23)
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