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Doubling an investment

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  • Eliazar, Iddo

Abstract

We study the issue of optimal long-term portfolio management in continuous time multi-asset financial markets. Rather than following the abstract notion of ‘utility’ and its implied paradigm of ‘maximization of expected utility’ we suggest a different approach: The investor sets a goal—such as reaching a desired fortune level, or doubling the initial investment—and then operates to minimize the expected time-to-goal, i.e., achieving the goal as quick as possible.

Suggested Citation

  • Eliazar, Iddo, 2004. "Doubling an investment," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 331(1), pages 240-252.
    • Handle: RePEc:eee:phsmap:v:331:y:2004:i:1:p:240-252
    DOI: 10.1016/j.physa.2003.09.024
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    References listed on IDEAS

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    3. Karni, Edi & Schmeidler, David, 1991. "Utility theory with uncertainty," Handbook of Mathematical Economics, in: W. Hildenbrand & H. Sonnenschein (ed.), Handbook of Mathematical Economics, edition 1, volume 4, chapter 33, pages 1763-1831, Elsevier.
    4. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
    5. Cohen, Morrel H. & Natoli, Vincent D., 2003. "Risk and utility in portfolio optimization," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 324(1), pages 81-88.
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