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On the Optimality of Some Multiperiod Portfolio Selection Criteria

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  • Elton, Edwin J
  • Gruber, Martin J

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  • Elton, Edwin J & Gruber, Martin J, 1974. "On the Optimality of Some Multiperiod Portfolio Selection Criteria," The Journal of Business, University of Chicago Press, vol. 47(2), pages 231-243, April.
    • Handle: RePEc:ucp:jnlbus:v:47:y:1974:i:2:p:231-43
    DOI: 10.1086/295633
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    Cited by:

    1. Glensk, Barbara & Madlener, Reinhard, 2011. "Dynamic Portfolio Selection Methods for Power Generation Assets," FCN Working Papers 16/2011, E.ON Energy Research Center, Future Energy Consumer Needs and Behavior (FCN).
    2. Bodnar, Taras & Parolya, Nestor & Schmid, Wolfgang, 2015. "On the exact solution of the multi-period portfolio choice problem for an exponential utility under return predictability," European Journal of Operational Research, Elsevier, vol. 246(2), pages 528-542.
    3. Dokuchaev, Nikolai, 2010. "Optimality of myopic strategies for multi-stock discrete time market with management costs," European Journal of Operational Research, Elsevier, vol. 200(2), pages 551-556, January.
    4. Zhang, Xili & Zhang, Weiguo & Xiao, Weilin, 2013. "Multi-period portfolio optimization under possibility measures," Economic Modelling, Elsevier, vol. 35(C), pages 401-408.
    5. Bauder, David & Bodnar, Taras & Parolya, Nestor & Schmid, Wolfgang, 2020. "Bayesian inference of the multi-period optimal portfolio for an exponential utility," Journal of Multivariate Analysis, Elsevier, vol. 175(C).
    6. Liu, Yong-Jun & Zhang, Wei-Guo, 2015. "A multi-period fuzzy portfolio optimization model with minimum transaction lots," European Journal of Operational Research, Elsevier, vol. 242(3), pages 933-941.
    7. Michele Di Maio & Marco Valente, 2013. "Uncertainty, Specialization and Government Intervention," Metroeconomica, Wiley Blackwell, vol. 64(2), pages 215-243, May.
    8. Jianfeng Liang & Shuzhong Zhang & Duan Li, 2008. "Optioned Portfolio Selection: Models And Analysis," Mathematical Finance, Wiley Blackwell, vol. 18(4), pages 569-593, October.
    9. N'Golo Kone, 2020. "A Multi-Period Portfolio Selection in a Large Financial Market," Working Paper 1439, Economics Department, Queen's University.
    10. Dokuchaev, Nikolai, 2007. "Discrete time market with serial correlations and optimal myopic strategies," European Journal of Operational Research, Elsevier, vol. 177(2), pages 1090-1104, March.
    11. U. Çakmak & S. Özekici, 2006. "Portfolio optimization in stochastic markets," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 63(1), pages 151-168, February.
    12. Alina Lucia Trifan, 2009. "Testing Capital Asset Pricing Model For Romanian Capital Market," Annales Universitatis Apulensis Series Oeconomica, Faculty of Sciences, "1 Decembrie 1918" University, Alba Iulia, vol. 1(11), pages 1-43.
    13. Alexandra Rodkina & Nikolai Dokuchaev, 2014. "On asymptotic optimality of Merton's myopic portfolio strategies for discrete time market," Papers 1403.4329, arXiv.org, revised Nov 2014.
    14. Buckley, Winston S. & Brown, Garfield O. & Marshall, Mario, 2012. "A mispricing model of stocks under asymmetric information," European Journal of Operational Research, Elsevier, vol. 221(3), pages 584-592.
    15. Keith Cuthbertson & Simon Hayley & Nick Motson & Dirk Nitzsche, 2016. "What Does Rebalancing Really Achieve?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 21(3), pages 224-240, July.
    16. Ethem Çanakoğlu & Süleyman Özekici, 2009. "Portfolio selection in stochastic markets with exponential utility functions," Annals of Operations Research, Springer, vol. 166(1), pages 281-297, February.
    17. Zhang, Wei-Guo & Liu, Yong-Jun & Xu, Wei-Jun, 2012. "A possibilistic mean-semivariance-entropy model for multi-period portfolio selection with transaction costs," European Journal of Operational Research, Elsevier, vol. 222(2), pages 341-349.
    18. Yu, Mei & Takahashi, Satoru & Inoue, Hiroshi & Wang, Shouyang, 2010. "Dynamic portfolio optimization with risk control for absolute deviation model," European Journal of Operational Research, Elsevier, vol. 201(2), pages 349-364, March.
    19. Gianfranco Guastaroba & Renata Mansini & M. Speranza, 2009. "Models and Simulations for Portfolio Rebalancing," Computational Economics, Springer;Society for Computational Economics, vol. 33(3), pages 237-262, April.

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