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Université de Fribourg

Dynamic optimal capital growth of diversified investment

Yonga, Luo ; Bo, Zhu ; Yong, Tang

In: Journal of Applied Statistics, 2015, vol. 42, no. 3, p. 577–588

We investigate the problem of dynamic optimal capital growth of diversified investment. A general framework that the trader maximize the expected log utility of long-term growth rate of initial wealth was developed. We show that the trader's fortune will exceed any fixed bound when the fraction is chosen less than critical value. But, if the fraction is larger than that value, ruin is almost...