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Investment policies for expanding businesses optimal in a long‐run sense

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  • Leo Breiman

Abstract

An entrepeneur has a given initial fortune and faces the following situation: during any time period he may invest various amounts of his available fortune in various alternatives (differing from interval to interval) and keep the remainder of his money as a reserve fund; The alternatives materialize and pay off according to a probability distribution in which occurrences in different time intervals are independent. We analyze the problem of finding the investment policies (that is, the division of funds during every time interval between the investment alternatives and the reserve) that will make the long‐run growth of the entrepeneur's fortune as rapid as possible.

Suggested Citation

  • Leo Breiman, 1960. "Investment policies for expanding businesses optimal in a long‐run sense," Naval Research Logistics Quarterly, John Wiley & Sons, vol. 7(4), pages 647-651, December.
    • Handle: RePEc:wly:navlog:v:7:y:1960:i:4:p:647-651
    DOI: 10.1002/nav.3800070431
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    Cited by:

    1. Guillaume Coqueret & Bertrand Tavin, 2019. "Procedural rationality, asset heterogeneity and market selection," Post-Print hal-02312310, HAL.
    2. S. Cetinkaya & M. Parlar, 1997. "Optimal nonmyopic gambling strategy for the generalized Kelly criterion," Naval Research Logistics (NRL), John Wiley & Sons, vol. 44(7), pages 639-654, October.
    3. Coqueret, Guillaume & Tavin, Bertrand, 2019. "Procedural rationality, asset heterogeneity and market selection," Journal of Mathematical Economics, Elsevier, vol. 82(C), pages 125-149.
    4. Ziemba, William, 2016. "A response to Professor Paul A. Samuelson's objections to Kelly capital growth investing," LSE Research Online Documents on Economics 119002, London School of Economics and Political Science, LSE Library.
    5. Xavier Warin, 2016. "The Asset Liability Management problem of a nuclear operator : a numerical stochastic optimization approach," Papers 1611.04877, arXiv.org.
    6. Ke Du, 2013. "Commodity Derivative Pricing Under the Benchmark Approach," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2013, January-A.

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