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Sull'accumulo di un capitale in condizioni di incertezza

Abstract : The paper considers the problem of the constitution of a capital through annual deposits, when inflation is present. The intensity of inflation is assumed to be a random process driven by a dynamic linear model and then the probability distribution of the nominal value after n years of a capital, whose real value today is fixed, is determinend. Then the optimal deposits are determined, both in the case of block decision, and in the sequential case. The case of random discount factors is considered, as well.
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Contributor : Antoine Haldemann <>
Submitted on : Thursday, December 2, 2010 - 10:26:34 AM
Last modification on : Thursday, January 11, 2018 - 6:19:31 AM

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Marco Scarsini. Sull'accumulo di un capitale in condizioni di incertezza. Decisions in Economics and Finance, Springer-Verlag, 1985, Vol. 8, N°2, pp. 153-163. ⟨10.1007/BF02088772⟩. ⟨hal-00542256⟩



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