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• W3121679935 abstract "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. Weare mainly interested in the most probable value $x_mp$ of the budget that reaches a constant value over time. Based on an analytical investigation of the dynamics, we are able to predict $x_mp^stat$. 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." @default.
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• W3121679935 date "2008-09-01" @default.
• W3121679935 modified "2023-09-27" @default.
• W3121679935 title "Investments in Random Environments" @default.
• W3121679935 hasPublicationYear "2008" @default.
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