Artikel
Optimal risk budgeting under a finite investment horizon
The Growth-Optimal Portfolio (GOP) theory determines the path of bet sizes that maximize long-term wealth. This multi-horizon goal makes it more appealing among practitioners than myopic approaches, like Markowitz's mean-variance or risk parity. The GOP literature typically considers risk-neutral investors with an infinite investment horizon. In this paper, we compute the optimal bet sizes in the more realistic setting of risk-averse investors with finite investment horizons. We find that, under this more realistic setting, the optimal bet sizes are considerably smaller than previously suggested by the GOP literature. We also develop quantitative methods for determining the risk-adjusted growth allocations (or risk budgeting) for a given finite investment horizon.
- Sprache
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Englisch
- Erschienen in
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Journal: Risks ; ISSN: 2227-9091 ; Volume: 7 ; Year: 2019 ; Issue: 3 ; Pages: 1-15 ; Basel: MDPI
- Klassifikation
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Wirtschaft
- Thema
-
drawdown
finite investment horizon
Growth-optimal portfolio
Kelly criterion
risk management
- Ereignis
-
Geistige Schöpfung
- (wer)
-
López de Prado, Marcos M.
Vince, Ralph
Zhu, Qiji Jim
- Ereignis
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Veröffentlichung
- (wer)
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MDPI
- (wo)
-
Basel
- (wann)
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2019
- DOI
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doi:10.3390/risks7030086
- Handle
- Letzte Aktualisierung
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10.03.2025, 11:45 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- López de Prado, Marcos M.
- Vince, Ralph
- Zhu, Qiji Jim
- MDPI
Entstanden
- 2019
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