Robust Growth-Optimal Portfolios

@article{Rujeerapaiboon2016RobustGP,
  title={Robust Growth-Optimal Portfolios},
  author={Napat Rujeerapaiboon and Daniel Kuhn and Wolfram Wiesemann},
  journal={Management Science},
  year={2016},
  volume={62},
  pages={2090-2109}
}
The growth-optimal portfolio is designed to have maximum expected log-return over the next rebalancing period. Thus, it can be computed with relative ease by solving a static optimization problem. The growthoptimal portfolio has sparked fascination among finance professionals and researchers because it can be shown to outperform any other portfolio with probability 1 in the long run. In the short run, however, it is notoriously volatile. Moreover, its computation requires precise knowledge of… CONTINUE READING
Recent Discussions
This paper has been referenced on Twitter 2 times over the past 90 days. VIEW TWEETS
5 Citations
26 References
Similar Papers

References

Publications referenced by this paper.
Showing 1-10 of 26 references

Compound-return mean-variance efficient portfolios never risk ruin

  • N. Hakansson, B. Miller
  • 1975
Highly Influential
9 Excerpts

A new interpretation of information rate

  • J. Kelly
  • Bell System Technical Journal
  • 1956
Highly Influential
7 Excerpts

Some analytical and computational results. Review of Financial Studies

  • A. Blum, A. Kalai
  • 1999
Highly Influential
4 Excerpts

The effect of errors in means, variances, and covariances on optimal portfolio

  • V. Chopra, W. Ziemba
  • 1993
Highly Influential
5 Excerpts

Machine Learning for Financial Engineering

  • T. Cover, J. Thomas
  • Mathematical Finance
  • 1991
Highly Influential
3 Excerpts

Maxmin expected utility with non-unique prior

  • I. Gilboa, D. Schmeidler
  • Journal of Mathematical
  • 1989
Highly Influential
7 Excerpts

Similar Papers

Loading similar papers…