Growth-Security Investment Strategy for Long and Short Runs

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.

• 저널Management Science · 39(8) · 915–924
• 토픽Financial Markets and Investment Strategies · Finance
• DOI10.1287/mnsc.39.8.915
• 저자Yuming Li