Investing for the Long Run

Abstract

This paper studies long term investing by an investor that maximizes either expected utility from terminal wealth or from consumption. We introduce the concepts of a growth optimal portfolio (GP) and of the minimum price to... [ view full abstract ]

Authors

  1. Eckhard Platen (University of Technology Sydney)
  2. Dietmar Leisen (University of Mainz)

Topic Areas

Asset Allocation , Optimal Investment , Portfolio Theory

Session

TU-P-B1 » Optimal Control and Optimal Investment 1 (14:30 - Tuesday, 17th July, Beckett 1 )

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