THE CAPITAL GROWTH CRITERION AND CONTINUOUS-TIME MODELS

William T. Ziemba and Raymond G. Vickson
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William T. Ziemba: University of British Columbia, Canada
Raymond G. Vickson: University of Waterloo, Canada

Chapter 29 in Stochastic Optimization Models in Finance, 2006, pp 593-661 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:INVESTMENT POLICIES FOR EXPANDING BUSINESSES OPTIMAL IN A LONG-RUN SENSEPortfolio Choice and the Kelly CriterionOptimum Consumption and Portfolio Rules in a Continuous-Time Model

Keywords: Stochastics; Stochastic Optimization Models; Finance (search for similar items in EconPapers)
JEL-codes: C4 C5 C6 (search for similar items in EconPapers)
Date: 2006
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