Optimal Portfolio Decision Making Where the Horizon is Infinite

Bruce L. Miller
Additional contact information
Bruce L. Miller: University of California, Los Angeles

Management Science, 1975, vol. 22, issue 2, 220-225

Abstract: We consider a portfolio model with an infinite planning horizon. It is shown that the investment policy of maximizing the expected log each period is optimal when the utility function depends only on the tail of the sequence representing the capital at each period.

Date: 1975
References: Add references at CitEc
Citations:

Downloads: (external link)
http://dx.doi.org/10.1287/mnsc.22.2.220 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:inm:ormnsc:v:22:y:1975:i:2:p:220-225

Access Statistics for this article

More articles in Management Science from INFORMS Contact information at EDIRC.
Bibliographic data for series maintained by Chris Asher ().