Multi-Period Portfolio Optimization: Translation of Autocorrelation Risk to Excess Variance
Byung-Geun Choi,
Napat Rujeerapaiboon and
Ruiwei Jiang
Papers from arXiv.org
Abstract:
Growth-optimal portfolios are guaranteed to accumulate higher wealth than any other investment strategy in the long run. However, they tend to be risky in the short term. For serially uncorrelated markets, similar portfolios with more robust guarantees have been recently proposed. This paper extends these robust portfolios by accommodating non-zero autocorrelations that may reflect investors' beliefs about market movements. Moreover, we prove that the risk incurred by such autocorrelations can be absorbed by modifying the covariance matrix of asset returns.
Date: 2016-06, Revised 2016-09
New Economics Papers: this item is included in nep-net and nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1606.06578
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