Maximization of long‐run average rate‐of‐return by stochastic approximation

Robert A. Agnew

Naval Research Logistics Quarterly, 1974, vol. 21, issue 2, 333-342

Abstract: Suppose that an individual has a surplus stock of wealth and a fixed set of risky investment opportunities over a sequence of time periods. Assuming the criterion of maximal long‐run average rate‐of‐return, the individual may select portfolios sequentially via a modified stochastic approximation procedure. This approach yields optimal asymptotic investment results under minimal assumptions.

Date: 1974
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https://doi.org/10.1002/nav.3800210213

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Persistent link: https://EconPapers.repec.org/RePEc:wly:navlog:v:21:y:1974:i:2:p:333-342

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