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On Optimal Myopic Portfolio Policies, With And Without Serial Correlation Of Yields

In: THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE

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  • NILS H. HAKANSSON

Abstract

The following sections are included:INTRODUCTIONPRELIMINARIESAN EXAMPLEBORROWING AND SOLVENCYTHE GENERAL CASESERIALLY CORRELATED YIELDSOPTIMAL MYOPIC POLICIESCONCLUDING REMARKS

Suggested Citation

  • Nils H. Hakansson, 2011. "On Optimal Myopic Portfolio Policies, With And Without Serial Correlation Of Yields," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 9, pages 113-123, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789814293501_0009
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