Distribution of multi-period returns and criteria for multi-period portfolio selection

• Autorzy: Adcock C. J.
• Języki publikacji: EN

Abstrakty

EN

This paper is concerned with the probability distribution of the geometric mean return of an individual asset or a portfolio that is held for multiple periods. An improvement to the conventional approximation to the geometric mean is presented. The implications for portfolio selection based on expected utility maximisation are considered. Criteria for portfolio selection based on quadratic and negative exponential utility functions are developed and their properties described. The paper concludes by showing that, when returns have a multivariate normal distribution, multi-period expected utility maximisers will select a portfolio that lies on the efficient frontier.

Słowa kluczowe

EN

portfolio; criteria portfolio select; efficiency frontier

PL

kryteria wyboru portfela; granica efektywności

• Wydawca: University of Zielona Góra, Faculty of Economics and Management
• Czasopismo: Management
• Rocznik: 2002
• Tom: Vol. 6, no 1
• Strony: 127--142
• Opis fizyczny: Bibliogr. 11 poz.

Twórcy

autor

Adcock C. J.

• Department of Economic, The University of Sheffield, United Kingdom

Bibliografia

• 1. Adcock C.J., Shutes K. (2000), Fat Tails and The Capital Asset Pricing Model, in: C. Dunis (ed.), Advances in Quantitative Asset Management, Kluwer Academic Press, Boston, Mass.
• 2. Aparicio F., Estrada J. (2001), Empirical Distributions for Stock Returns: European Securities Markets 1990-95, “The European Journal of Finance”, 7, p.1-21.
• 3. Blattberg R., Gonedes N. (1974), A Comparison o f the Stable and Student Distributions as Statistical Models for Stock Prices, “Journal o f Business”, 47, p. 24-80.
• 4. Kallberg J.G., Ziemba W.T. (1983), Comparison o f Alternative Functions in Portfolio Selection Problems, “Management Science”, 11, p. 1257-1276.
• 5. Kendall M.G., Stuart A. (1963), The Advanced Theory of Statistics, Vol. 1, Charles Griffin & Co., London.
• 6. Li D., Ng W-L. (2000), Optimal Dynamic Portfolio Selection: Multi-Period Mean Variance Formulation, “Mathematical Finance”, 10, p. 387-406.
• 7. Michaud R.O. (1998), Efficient Asset 'Management, Harvard Business School Press, Boston.
• 8. Praetz P. (1972), The Distribution o f Share Price Changes, “Journal of Business”, 45, p. 49-55.
• 9. Stein C. (1981), Estimation o f the Mean o f a Multivariate Normal Distribution, “Annals o f Statistics”, 9, p. 1135-1151.
• 10. Stuart A., Ord J.K. (1994), Kendall’s Advanced Theory o f Statistics, Vol. I: Distribution Theory, 6th edition, Edward Arnold, London.
• 11. Whittle P. (1990), Risk-sensitive Optimal Control, John Wiley and Sons, New York.