Growth-Security Investment Strategy for Long and Short Runs

Yuming Li
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Yuming Li: School of Business Administration and Economics, California State University, Fullerton, Fullerton, California 92634-9480

Management Science, 1993, vol. 39, issue 8, 915-924

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 considerable 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.

Keywords: capital growth model; investment criterion; portfolio theory (search for similar items in EconPapers)
Date: 1993
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Persistent link: https://EconPapers.repec.org/RePEc:inm:ormnsc:v:39:y:1993:i:8:p:915-924

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