Annals of Operations Research

, Volume 45, Issue 1, pp 187–204

Optimal portfolios with asymptotic criteria

  • Hiroshi Konno
  • Stanley R. Pliska
  • Ken-Ichi Suzuki
Article

DOI: 10.1007/BF02282049

Cite this article as:
Konno, H., Pliska, S.R. & Suzuki, KI. Ann Oper Res (1993) 45: 187. doi:10.1007/BF02282049

Abstract

This paper is concerned with a portfolio optimization model for a long planning horizon. We first argue that in this case the asymptotic growth rate and the asymptotic variance are better measures of performance than the usual mean and variance of return. We next propose an efficient algorithm for calculating the asymptotic frontier, i.e., the efficient frontier relative to the new criteria. Finally, we illustrate our methods and compare the difference between our model and the classical mean-variance-model by using historical data based on the 1064 stocks of the Tokyo Stock Exchange.

Keywords

Asymptotic growth rate asymptotic variance portfolio optimization mean-variance model 

Copyright information

© J.C. Baltzer AG, Science Publishers 1993

Authors and Affiliations

  • Hiroshi Konno
    • 1
  • Stanley R. Pliska
    • 2
  • Ken-Ichi Suzuki
    • 3
  1. 1.Institute of Human and Social ScienceTokyo Institute of TechnologyTokyoJapan
  2. 2.Department of FinanceUniversity of Illinois at ChicagoChicagoUSA
  3. 3.Department of Social EngineeringTokyo Institute of TechnologyTokyoJapan

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