---

Author(s): Joy Ijeoma Adindu-Dick.

Volume/Issue: Volume 5 , Issue 3 (2022)

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.

Keywords:

Rate of return; Portfolio management strategies; Geometric Brownian motion; Ito’s formula; Gamma distribution.

No. of Downloads: 0