Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5128416 | Operations Research Letters | 2016 | 7 Pages |
Abstract
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.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Discrete Mathematics and Combinatorics
Authors
Byung-Geun Choi, Napat Rujeerapaiboon, Ruiwei Jiang,