Fallacy of the log-normal approximation to optimal portfolio decision-making over many periods

DOI10.1016/0304-405X(74)90009-9MaRDI QIDQ5452375zbMATH OpenFDO

Authors Robert C. Merton, Paul A. Samuelson

Publication date 3 April 2008

Published in Journal of Financial Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-405X(74)90009-9

Mathematics Subject Classification ID

Portfolio theory (91G10)

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(32)

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• Statistical properties of estimators for the log-optimal portfolio
• Correlated squared returns
• Operational asymptotic stochastic dominance
• Intergenerational risk sharing in closing pension funds
• The evolution of portfolio rules and the capital asset pricing model
• Hedge and mutual funds' fees and the separation of private investments
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• Optimal leverage from non-ergodicity
• OPTIMAL LAG IN DYNAMICAL INVESTMENTS
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• Investment diversification and investment specialization and the assumed holding period
• A theoretical investigation of randomized asset allocation strategies
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• A closed-form solution of the multi-period portfolio choice problem for a quadratic utility function
• Stationary increments reverting to a Tempered Fractional Lévy Process (TFLP)
• Analysis of the rebalancing frequency in log-optimal portfolio selection
• A negative report on the ‘near optimality’ of the max-expected-log policy as applied to bounded utilities for long lived programs
• WHY THE RETURN NOTION MATTERS
• Pensionmetrics: Stochastic pension plan design and value-at-risk during the accumulation phase
• Recent advances in reinforcement learning in finance
• A preference foundation for log mean-variance criteria in portfolio choice problems
• The maximum geometric mean criterion: revisiting the Markowitz-Samuelson debate: survey and analysis
• To revise or not to revise? This is the question
• Relative risk aversion must be close to 1
• The optimal asset allocation of national insurance funds
• Markets do not select for a liquidity preference as behavior towards risk

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