STICK IT OUT OR EVEN IT OUT? Towards a robust multi-period - PowerPoint PPT Presentation

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STICK IT OUT OR EVEN IT OUT? Towards a robust multi-period efficient frontier HISTORY OF PORTFOLIO SELECTION 1952, Markowitz: Efficient frontier for one-off investments 1956, Kelly: Optimize expected terminal wealth for repeated games 1991,

STICK IT OUT OR EVEN IT OUT? Towards a robust multi-period efficient frontier
HISTORY OF PORTFOLIO SELECTION 1952, Markowitz: Efficient frontier for one-off investments 1956, Kelly: Optimize expected terminal wealth for repeated games 1991, Cover: Kelly without statistical assumptions
MODERN PORTFOLIO THEORY Portfolio should be risk/return Pareto efficient Does not use intermediate info Return Risk
ONLINE PORTFOLIO SELECTION Investing is a repeated game Kelly: if distribution known, calculate terminal wealth optimizer Cover: no assumptions, compare with a good benchmark
THE MAIN IDEA No statistical assumptions Define a 'best strategy in hindsight' a la Markowitz Minimize maximum distance to best strategy Repeat for different risk preferences to build efficient frontier
Why no statistical assumptions? Assets get (de)listed Trump starts a tariff war
Why that arbitrary benchmark? 14 Cover 13 12 11 1/N 10 BCRP: >60 9 8 7 SP500 6 5 4 3 2 1 0 1996 1998 2000 2002 2004 2006 2008 2010 2012 2014 2016 2018
NEXT STEPS Find efficient frontier Include transaction costs Optimal rebalancing frequency Theorems, proofs
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