Hello, Login
X

Forgot Password?

Join Us

to start. Not a member? Join Today!
LinkedIn Join us on
Investment Management Information
“Bridging the theory & practice of investment management”
Email
Advanced Search →
  • Home
  • Journal
    • About
    • Subscribe to the Journal
      • Subscriptions
      • Library Subscriptions
    • Harry M. Markowitz Award
    • Submit a Paper
      • Article Guidelines
      • Practitioner’s Guidelines
    • Reprints & Permissions
    • Advertising
  • Conferences
    • JOIM Conference Events
    • About
    • Membership
    • Board Members
    • Sponsorship
  • Library Access
  • Contact
  • Help

0 comments / 18/12/2020 / the JOIM / Articles

Multi-Period Portfolio Selection: A Practical Simulation-Based Framework

Vol. 18, No. 4, 2020
Kenneth Blay, Anish Ghosh, Steven Kusiak, Harry Markowitz, Nicholas Savoulides and Qi Zheng

The topic of optimal portfolio selection over time has garnered significant attention from investment researchers since the introduction of portfolio theory in 1952. While computational, theoretical, and numerical methods have advanced, solutions introduced to date have yet to effectively address many practical aspects of the multi-period portfolio selection problem.

In this paper, we propose three key requisites for practical multi-period portfolio selection solutions that highlight the central challenges of managing portfolios across a multi- period investment horizon: effective duration management, incorporating real-world asset dynamics, and considering investment frictions and illiquidities. Based on these criteria, we detail an analytical framework for multi-period portfolio selection that provides intuition and yields guiding principles that describe how allocations and duration should evolve across a multi-period investment horizon, given specific investor objectives. We then introduce a practical simulation-based portfolio selection (SBPS) framework and present solutions for common investor objectives that are not only aligned with intuitive principles but also demonstrate the flexibility afforded by SBPS in allowing us to address the three stated requisites for practical multi-period solutions.

0 comments… add one
Cancel reply

Leave a Comment

Next Article: Practitioner’s Digest

Previous Article: What Drives Active Share? Active Stock Selection or Active Stock Weights

JOIM

    Library Access

    Subscribe to the Journal
    Submit a Paper
    Harry M. Markowitz Award
    Editorial Board
    Upcoming Conferences

    Edit Profile

Recent Comments

    JOIM

      About the JOIM
    • Library Access
    • Subscribe to the Journal
    • Submit a Paper
    • Editorial Board
    • Harry M. Markowitz Award
    • Reprints & Permissions
    • Advertising
    • Terms and Conditions

    JOIM Conference Series

    • About
    • Upcoming Conferences
    • Membership
    • Board Members
    • Sponsorship Opportunities
    • Terms & Conditions
    Speaker Reimbursement Policy

    Contact

    Journal Of Investment Management (JOIM)
    3658 Mt. Diablo Blvd., Suite 200
    Lafayette, CA 94549
    www.joim.com

    customerservice @ joim.com
    (925) 299-7800

    Copyright 2019 — Journal Of Investment Management design by SEO Web Designers