Article ID: | iaor1994843 |
Country: | United States |
Volume: | 39 |
Issue: | 8 |
Start Page Number: | 915 |
End Page Number: | 924 |
Publication Date: | Aug 1993 |
Journal: | Management Science |
Authors: | Li Yuming |
Keywords: | growth |
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.