High-risk and competitive investment models
成果类型：
Article
署名作者：
Bruss, FT; Ferguson, TS
署名单位：
Universite Libre de Bruxelles; University of California System; University of California Los Angeles
刊物名称：
ANNALS OF APPLIED PROBABILITY
ISSN/ISSBN：
1050-5164
发表日期：
2002
页码：
1202-1226
关键词：
摘要：
How should we invest capital into a sequence of investment opportunities, if, for reasons of external competition, our interest focuses on trying to invest in the very best opportunity? We introduce new models to answer such questions. Our objective is to formulate them in a way that makes results high-risk specific in order to present true alternatives to other models. At the same time we try to keep them applicable in quite some generality, also for different utility functions. Viewing high-risk situations we assume that an investment on the very best opportunity yields a lucrative, possibly time-dependent, rate of return, that uninvested capital keeps its risk-free value, whereas wrong investments lose their value. Several models are presented, mainly for the so-called rank-based case. Optimal strategies and values are found, also for different utility functions, and several examples are explicitly solved. We also include results for the so-called full-information case, where, in addition, the quality distribution of investment opportunities is supposed to be known. In addition we present tractable models for an unknown number of opportunities in terms of Pascal arrival processes. Effort is made throughout the article to justify assumptions in the view of applicability.