英文标题：
《Investing for the Long Run》
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作者：
Dietmar Leisen and Eckhard Platen
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最新提交年份：
2017
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英文摘要：
This paper studies long term investing by an investor that maximizes either expected utility from terminal wealth or from consumption. We introduce the concepts of a generalized stochastic discount factor (SDF) and of the minimum price to attain target payouts. The paper finds that the dynamics of the SDF needs to be captured and not the entire market dynamics, which simplifies significantly practical implementations of optimal portfolio strategies. We pay particular attention to the case where the SDF is equal to the inverse of the growth-optimal portfolio in the given market. Then, optimal wealth evolution is closely linked to the growth optimal portfolio. In particular, our concepts allow us to reconcile utility optimization with the practitioner approach of growth investing. We illustrate empirically that our new framework leads to improved lifetime consumption-portfolio choice and asset allocation strategies.
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中文摘要：
本文研究了一个投资者的长期投资，该投资者可以从终端财富或消费中获得最大的预期效用。我们引入了广义随机贴现因子（SDF）和实现目标支付的最低价格的概念。本文发现，需要捕捉SDF的动态，而不是整个市场动态，这大大简化了最优投资组合策略的实际实施。我们特别关注SDF等于给定市场中增长最优投资组合的倒数的情况。然后，最优财富演化与增长最优投资组合密切相关。特别是，我们的概念使我们能够将效用优化与增长投资的从业者方法相协调。我们的经验表明，我们的新框架改进了终身消费投资组合选择和资产配置策略。
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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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