Doubling an investment

Iddo Eliazar

Physica A: Statistical Mechanics and its Applications, 2004, vol. 331, issue 1, 240-252

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.

Keywords: Portfolio management; Doubling an investment; Time-to-goal; Geometric Brownian motion (search for similar items in EconPapers)
Date: 2004
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:331:y:2004:i:1:p:240-252

DOI: 10.1016/j.physa.2003.09.024

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