We study the investment behaviour of a producer maximizing the present value of his firm over an infinite time horizon … capital, are assumed known and held fixed. We find the optimal investment behaviour in the form of a feed-back function …

Bottom-up optimization models neglect the inclusion of investment behavior We introduce three investor types that … differ in their investment cost specifications, financing costs, and discounting. This leads to a substantially different … accounting for more differentiated picture of electricity market investment with heterogeneous investor types can provide a …

stability properties of investment strategies associated with the Kelly rule. Our approach to the study of the wealth dynamics … of investment strategies is inspired by Darwinian ideas on selection and mutation. The goal of this research is to … develop an evolutionary framework for practical investment advice …

The Kelly Capital Growth Investment Strategy (KCGIS) is to maximize the expected utility of nal wealth with a … properties as well such as extremely large bets for short term favorable investment situations because the Arrow-Pratt risk … to Fidelity Investments, a major Boston investment fi rm close to and influenced by Samuelson at MIT. I agree that these …

by actions of the investor. Using the classical filtering theory, we reduce this problem with partial information to one … with full information and solve it for logarithmic and power utility functions. In particular, we apply control theory for …

This paper discusses multi-period investment processes under parameter uncer- tainty and criteria to maximize … exponential growth. Applying an information- theoretical argument, we find, for a Bernoulli process, the least biased investment …

In this paper we formulate a continuous-time behavioral (a la cumulative prospect theory) portfolio selection model …