Multi-period Portfolio Management

  • Terence M. Ryan
Chapter
Part of the Studies in Finance and Accounting book series

Abstract

The theory of portfolio selection elaborated in the earlier chapters was developed implicitly within a single-time-period framework; that is to say, it was assumed that the investor consumed his wealth at the end of the single period over which he held the portfolio. In practice, however, the problem of managing an investment portfolio is an on-going commitment covering many time periods. Indeed, the typical institutional investors, such as the banks and insurance companies, may have an infinite horizon.

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Notes and References

  1. 1.
    The interested reader is referred to P. A. Samuelson, ‘Lifetime Portfolio Selection by Dynamic Stochastic Programming’, Review of Economics and Statistics (August 1969) pp. 23–34.Google Scholar
  2. 2.
    To verify that k1 is positive, see J. Mossin, ‘Optimal Multi-period Portfolio Policies’, journal of Business (April 1968) pp. 215–29.Google Scholar

Copyright information

© Terence M. Ryan 1978

Authors and Affiliations

  • Terence M. Ryan
    • 1
  1. 1.Trinity CollegeUniversity of DublinUK

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