Growth-security investment strategy for long and short runs
Growth-security investment strategy for long and short runs
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DOI：
10.1287/mnsc.39.8.915
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发表时间：
1993-08
影响因子：
5.4
通讯作者：
Yuming Li
中科院分区：
文献类型：
--
作者：
Yuming Li
众所周知，最大化每个时期财富期望对数的投资策略是长期最优资本增长准则。然而，增长最优战略在短期内会带来相当大的风险，即损失相当大一部分财富用于投资。本文将长期资本增长准则推广到一个多期投资策略，使资本增长最大化，同时在任何有限的投资期限内达到一个给定的保持累积无风险收益的概率。
It is well known that the investment policy maximizing the expected logarithm of wealth each period is a long-run optimal capital growth criterion. However, the growth-optimal strategy entails a considerable risk of losing a substantial portion of wealth for the investment in the short run. This paper extends the long-run capital growth criterion to a multiperiod investment policy which maximizes the capital growth and at the same time achieves a given probability of maintaining an accumulated risk-free return over any finite investment horizon.