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| Author: | Li, Y. |
| Title: | Growth-security investment strategy for long and short runs |
| Journal: | Management Science
1993 : AUG, VOL. 39:8, p. 915-924 |
| Index terms: | CAPITAL GROWTH INVESTMENT SECURITY STRATEGY |
| Language: | eng |
| Abstract: | It is well known that the investment policy maximizing the expected logarithm of wealth each period is a long-run optimal capital growth criterion. However, the growth-optimal strategy entails a considerably risk of losing a substantial portion of wealth for the investment in the short run. This paper extends the long-run capital growth criterion to a multiperiod investment policy which maximizes the capital growth and at the same time achieves a given probability of maintaining an accumulated risk-free return over any finite investment horizon. |
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