Multi-period portfolio optimization: translation of autocorrelation risk to excess variance

DOI10.1016/J.ORL.2016.10.006zbMATH Open1408.91193arXiv1606.06578OpenAlexW2963844332MaRDI QIDQ1709972FDOQ1709972

Authors: Byung-Geun Choi, Napat Rujeerapaiboon, Ruiwei Jiang 

Publication date: 15 January 2019

Published in: Operations Research Letters (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/1606.06578

Recommendations

• A multi-period mean-variance portfolio selection with serially correlated returns of risky assets
• Multiperiod portfolio optimization models in stochastic markets using the mean--variance approach
• Optimal dynamic portfolio selection: multiperiod mean-variance formulation
• Multiperiod mean-CVaR portfolio selection
• Autocorrelated Returns and Optimal Intertemporal Portfolio Choice
• Time-consistent strategies for multi-period mean-variance portfolio optimization with the serially correlated returns
• Multi-period mean-variance portfolio optimization based on Monte-Carlo simulation
• Multi-period portfolio optimization using model predictive control with mean-variance and risk parity frameworks
• Multi-period mean-variance portfolio selection with uncertain time horizon when returns are serially correlated

zbMATH Keywords

semidefinite programmingportfolio optimizationrobust optimizationsecond-order cone programming

Mathematics Subject Classification ID

Quadratic programming (90C20) Convex programming (90C25) Portfolio theory (91G10) Semidefinite programming (90C22)

Cites Work

• Distributionally robust joint chance constraints with second-order moment information
• Generalized Chebyshev Bounds via Semidefinite Programming
• Toeplitz and circulant matrices: a review.
• Safety First and the Holding of Assets
• Asymptotic optimality and asymptotic equipartiton properties of log- optimum investment
• Title not available (Why is that?)
• On the history of the growth-optimal portfolio

Cited In (3)

• Maximizing an equity portfolio excess growth rate: a new form of smart beta strategy?
• CVaR-based robust models for portfolio selection
• Chance-constrained optimization under limited distributional information: a review of reformulations based on sampling and distributional robustness

This page was built for publication: Multi-period portfolio optimization: translation of autocorrelation risk to excess variance

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1709972)