Abstract
This work investigates the rate of return from two portfolio management strategies. We first examine the return from total investment which includes both investment in the risky stock and investment in the risk-free asset. Secondly, we examine the return from investment in the risky stock only. We derive some optimality properties for the two portfolio management strategies. We show that the limiting behaviour of the rate of return on total investment is determined by the limiting behaviour of a related diffusion process.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
More From: African Journal of Mathematics and Statistics Studies
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.