Multi-Period Portfolio Optimization: Translation of Autocorrelation Risk to Excess Variance

Growth-optimal portfolios are guaranteed to accumulate higher wealth than any other investment strategy in the long run. However, they tend to be risky in the short term. For serially uncorrelated markets, similar portfolios with more robust guarantees have been recently proposed. This paper extends...

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Veröffentlicht in:	arXiv.org 2016-09
Hauptverfasser:	Choi, Byung-Geun, Rujeerapaiboon, Napat, Jiang, Ruiwei
Format:	Artikel
Sprache:	eng
Schlagworte:	Covariance matrix Investment strategy Optimization Portfolio management Short term
Online-Zugang:	Volltext
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