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Note on “Optimal Growth Portfolios When Yields are Serially Correlatedâ€

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  • Ziemba, William T.

Abstract

In [2] Hakansson and Liu presented a multiperiod portfolio model in which there is an optimal myopic policy. In particular, at any decision point j and state m the optimal amount to invest in opportunity i, namely , may be found by maximizing(42a) subject to(42b) (42c) ,where the expectation is taken with respect to the β's, and the p's and r are positive constants (r > 1). Assumptions are made in [2] which guarantee that (42) has a unique optimal solution and that the set of vijm which satisfies (42b and 42c) is a nonempty, compact, convex set for all j and m.

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  • Ziemba, William T., 1972. "Note on “Optimal Growth Portfolios When Yields are Serially Correlatedâ€," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 7(4), pages 1995-2000, September.
    • Handle: RePEc:cup:jfinqa:v:7:y:1972:i:04:p:1995-2000_01
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    Cited by:

    1. Sonntag, Dominik, 2018. "Die Theorie der fairen geometrischen Rendite [The Theory of Fair Geometric Returns]," MPRA Paper 87082, University Library of Munich, Germany.

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