Optimal Risk Budgeting under a Finite Investment Horizon

被引：3

作者：

de Prado, Marcos Lopez ^{[1
]}

Vince, Ralph ^{[2
]}

Zhu, Qiji Jim ^{[3
]}

机构：

[1] Lawrence Berkeley Natl Lab, Berkeley, CA 94720 USA

[2] Vince Strategies LLC, Chrysler Bldg,405 Lexington Ave 26th Fl, New York, NY 10174 USA

[3] Western Michigan Univ, Dept Math, 1903 West Michigan Ave, Kalamazoo, MI 49008 USA

来源：

RISKS | 2019年 / 7卷 / 03期

关键词：

Growth-optimal portfolio; risk management; Kelly criterion; finite investment horizon; drawdown;

D O I：

10.3390/risks7030086

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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.

引用

页数：15

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