کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5128416 1378595 2016 7 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Multi-period portfolio optimization: Translation of autocorrelation risk to excess variance
ترجمه فارسی عنوان
بهینه سازی پرتفوی چند دوره ای: ترجمه خطای اتخاذ تصادفی به واریانس بیش از حد
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات گسسته و ترکیبات
چکیده انگلیسی

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 these robust portfolios by accommodating non-zero autocorrelations that may reflect investors' beliefs about market movements. Moreover, we prove that the risk incurred by such autocorrelations can be absorbed by modifying the covariance matrix of asset returns.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Operations Research Letters - Volume 44, Issue 6, November 2016, Pages 801-807
نویسندگان
, , ,