Title: Optimization of portfolios with longer investment period
Abstract: We investigate the optimisation of portfolios with the investment I done periodically (n-times) with a period Δ Δ Δ Δt1, and the investment is been hold after the last investment for a time Δ Δ Δ Δt2 much larger than n Δt1. We show that, when using the μ - kσ optimisation for the portfolio one has to consider, that σ is time dependent. Considering different assets (shares) with the same σ σ σ σ(Δ Δ Δ Δt2) the investment in the asset is preferable with the highest σ(Δt1). That means, that portfolio optimisation with the measure of risk as μ - kσ and the cost average effect holds best for assets with σ(Δt1) large and σ(Δt2) small. Also this shows, that one should add a measure of risk for the investment process.
Publication Year: 2007
Publication Date: 2007-01-01
Language: en
Type: article
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