Investment_Fonct: Rebalancing & Investment

In belangerjulie15/Optimisation.Power.Utility: Functions: Optimizing with the Power Utility

Description

Rebalancing & Investment

Usage

Investment_Fonct(S_t, B_t, invest_risq_tm1, invest_srisq_tm1, propor)

Arguments

S_t	Risky asset value at time t (time of rebalancing)
B_t	Riskless asset value at time t (time of rebalancing)
invest_risq_tm1	Number of units invested in the risky asset before rebalancing (at time t-1)
invest_srisq_tm1	Number of units invested in the riskless asset before rebalancing (at time t-1)
propor	Proportion of the total investment in the risky asset

Value

A vector which contains in first positionthe number of units invest in the risky asset, and in second the riskless

Examples

Investment_Fonct(1.4,1.2,0.3,0.7,0.5)

belangerjulie15/Optimisation.Power.Utility documentation built on May 13, 2020, 5:39 a.m.