Portal de Periódicos da CAPES

OBTAINING AND PARAMETERIZING MULTIPERIOD PORTFOLIOS WITH DESIRABLE CHARACTERISTICS UNDER LOGNORMAL RETURNS

1982; Wiley; Volume: 13; Issue: 2 Linguagem: Inglês

10.1111/j.1540-5915.1982.tb00146.x

1540-5915

Jimmy E. Hilliard, Ronnie Clayton,

Financial Risk and Volatility Modeling

ABSTRACT The expected geometric mean has been shown to be a valuable criterion in ranking portfolios of assets. For example, under certain conditions the maximum expected geometric‐mean portfolio minimizes the expected time to amass a fixed level of wealth as wealth becomes “large.” This paper develops a simple algorithm for obtaining such portfolios when portfolio returns are assumed to be lognormally distributed. The risk‐return characteristics of portfolios are derived and illustrated using data from a subset of stocks found on the New York Stock Exchange.