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On optimal investiment strategies

Sulle strategie di investimento ottimali

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Abstract

Suppose an investor has a fixed decision horizon and an appropriate utility function for measuring his or her utility of wealth. If there are only two investment vehicles, a risky and a risk-free asset, then the optimal investment strategy is such that, at any time, the amount invested in the risky asset must be the product of his or her “current risk tolerance” and the risk premium on the risky asset, divided by the square of the diffusion coefficient of the risky asset. In the case of more than one risky asset, the optimal investment strategy is similar, with the ratios of the amounts invested in the different risky assets being constant over time.

Riassunto

Si consideri un investitore con un orizzonte decisionale dato e funzione d’utilità definita sulla sua ricchezza. Se le attività disponibili sono solo due, una rischiosa e l’altra no, allora la strategia, d’investimento ottima è tale che in ogni istantc l’ammontare investito nell’attività rischiosa deve essere il prodotto della sua “tolleranza al rischio attuale” e del premio al rischio per ogni attività, diviso per il quadrato del coefficiente di diffusione dell’attività rischiosa. Nel caso di più attività rischiose, la strategia d’investimento ottima è simile e mantiene i rapporti delle quantità investite nelle diverse attività costanti nel tempo.

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Authors and Affiliations

  1. École des Hautes Études Commerciales, Università di Losanna, Svizzera, CH-1015, Losanna, Svizzera

    Hans U. Gerber

  2. Department of Statistics and Actuarial Science, University of Iowa, Iowa, USA

    Elias S. W. Shiu

Authors
  1. Hans U. Gerber
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  2. Elias S. W. Shiu
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Correspondence to Hans U. Gerber.

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Gerber, H.U., Shiu, E.S.W. On optimal investiment strategies. Decisions Econ Finan 20, 133–151 (1997). https://doi.org/10.1007/BF02728997

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  • DOI: https://doi.org/10.1007/BF02728997

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