英文标题：
《Multi-Period Portfolio Optimization: Translation of Autocorrelation Risk
to Excess Variance》
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作者：
Byung-Geun Choi, Napat Rujeerapaiboon, Ruiwei Jiang
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最新提交年份：
2016
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英文摘要：
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.
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中文摘要：
从长远来看，增长最优投资组合肯定会比任何其他投资策略积累更高的财富。然而，它们在短期内往往有风险。对于连续不相关市场，最近提出了具有更稳健担保的类似投资组合。本文通过调节非零自相关来扩展这些稳健的投资组合，这可能反映投资者对市场走势的信念。此外，我们还证明了通过修改资产收益的协方差矩阵可以吸收这种自相关带来的风险。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Mathematics 数学
二级分类：Optimization and Control 优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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