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Note on “Optimal Growth Portfolios When Yields are Serially Correlated”

Published online by Cambridge University Press:  19 October 2009

William T. Ziemba
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Extract

In [2] Hakansson and Liu presented a multiperiod portfolio model in which there is an optimal myopic policy. In particular, at any decision point j and state m the optimal amount to invest in opportunity i, namely , may be found by maximizing

(42a)

subject to

(42b)

(42c) ,

where the expectation is taken with respect to the β's, and the p's and r are positive constants (r > 1). Assumptions are made in [2] which guarantee that (42) has a unique optimal solution and that the set of vijm which satisfies (42b and 42c) is a nonempty, compact, convex set for all j and m.

Type
Communications
Information
Journal of Financial and Quantitative Analysis , Volume 7 , Issue 4 , September 1972 , pp. 1995 - 2000
Copyright
Copyright © School of Business Administration, University of Washington 1972

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References

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