Memaksimumkan Nilai Harapan Kekayaan Investor dengan Strategi Investasi Saham Dua Perusahaan yang Bergabung

Abstract

Stock is the most popular form of investment. Its price changes dynamically and randomly. It is assumed that the price moves according to Brownian motion. Investors can earn more profit when a company merges with another one. In case of a merger of two companies, there is a linear combination of two stock prices that change according to Brownian motion. The objective of this research is to determine the expected value of investor’s wealth with a certain strategy. The result is presented in a theorem, which describes the investment strategy according to the company’s stock return at certain time. It has been proved that the investor can have two possibilities, i.e. the investor does not invest in either companies, or the investor invest only in one company. The expected value of wealth will be maximum if the allocation of investment in both companies are maximum.