haku: @indexterm CAPITAL GROWTH / yhteensä: 43
viite: 10 / 43
Tekijä:Li, Y.
Otsikko:Growth-security investment strategy for long and short runs
Lehti:Management Science
1993 : AUG, VOL. 39:8, p. 915-924
Asiasana:CAPITAL GROWTH
INVESTMENT
SECURITY
STRATEGY
Kieli:eng
Tiivistelmä: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.
SCIMA tietueen numero: 108570
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