A Multistage Stochastic Investment Process.

A. J. Truelove

ResearchPublished 1964

A mathematical treatment of a multistage investment process in which an individual can invest all or part of his resources at periodic intervals, but is also subject to periodic, fixed cost-of-living charges. His investment is doubled or lost with known probability. This study provides theoretical results that can be used to obtain computer solutions to the problem of maximizing the investor's probability of surviving for an infinite time

Document Details

  • Copyright: RAND Corporation
  • Availability: Web Only
  • Year: 1964
  • Pages: 38
  • Document Number: RM-4025-PR

Citation

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Truelove, A. J., A Multistage Stochastic Investment Process. Santa Monica, CA: RAND Corporation, 1964. https://www.rand.org/pubs/research_memoranda/RM4025.html.
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