Alternative growth versus security in continuous dynamic trading

Alternative growth versus security in continuous dynamic trading

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Article ID: iaor19981542
Country: Netherlands
Volume: 84
Issue: 2
Start Page Number: 265
End Page Number: 278
Publication Date: Jul 1995
Journal: European Journal of Operational Research
Authors: , , ,
Abstract:

In this paper, we discuss an alternative growth versus security tradeoff in the portfolio decision problem. Especially, the criteria of optimality in the stopping rule profile and the wealth profile suggested by MacLean, Ziemba and Blazenko are reconsidered and modified by taking account of a finite horizon of investment and the financial agent's goal seeking behavior, respectively. The three alternative growth and security profiles are investigated and numerically compared with earlier ones. Finally, we show that Kelly strategy is not always good and that the bold strategy is attractive for some criteria rather than Kelly strategy. Moreover, we also refer to the effect of the initial endowment for the criteria.

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