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)

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