Optimal Investment Policies for the Horse Race Model


Optimal investment policies for maximizing the expected value of the utility of an investor’s fortune are presented for investment models in which there are m investment opportunities exactly one of which will pay off, similar to betting on a winner in a horse race. It is assumed the investor knows for i = 1, . . . ,m the probabilities pi that outcome i is… (More)


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@inproceedings{Ferguson2004OptimalIP, title={Optimal Investment Policies for the Horse Race Model}, author={Thomas S. Ferguson and Zachary Gilstein}, year={2004} }