کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
978990 1480189 2008 12 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Investments in random environments
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات فیزیک ریاضی
پیش نمایش صفحه اول مقاله
Investments in random environments
چکیده انگلیسی
We present analytical investigations of a multiplicative stochastic process that models a simple investor dynamics in a random environment. The dynamics of the investor's budget, x(t), depends on the stochasticity of the return on investment, r(t), for which different model assumptions are discussed. The fat-tail distribution of the budget is investigated and compared with theoretical predictions. We are mainly interested in the most probable value xmp of the budget that reaches a constant value over time. Based on an analytical investigation of the dynamics, we are able to predict xmpstat. We find a scaling law that relates the most probable value to the characteristic parameters describing the stochastic process. Our analytical results are confirmed by stochastic computer simulations that show a very good agreement with the predictions.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 387, Issues 8–9, 15 March 2008, Pages 2035-2046
نویسندگان
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