Growth-Security Investment Strategy for Long and Short Runs
提出一种多期投资策略，在追求长期资本增长的同时，确保在任意有限投资期内以给定概率获得不低于无风险收益的回报，平衡了增长与短期安全。
It is well known that the investment policy maximizing the expected logarithm of wealth each period is a long-run optimal capital growth criterion. However, the growth-optimal strategy entails a considerable risk of losing a substantial portion of wealth for the investment in the short run. This paper extends the long-run capital growth criterion to a multiperiod investment policy which maximizes the capital growth and at the same time achieves a given probability of maintaining an accumulated risk-free return over any finite investment horizon.