To make high-quality research more accessible and easier to explore.

Fields:
1 result

Explicit solutions to some single-period investment problems for risky log-stable stocks

Journal of Financial Economics 1976 3(3), 277-294
Numerical approximations are presented for the expected utility of wealth over a single time period for a small investor who proportions her or his available capital between a risk-free asset and a risky stock. The stock price is assumed to be a log-stable random variable. The utility functional is logarithmic or isoeleastic (yaq, q extless 0). Analytic results are presented for special choices of model parameters, and for large and small time periods.