期刊名称：American Journal of Industrial and Business Management
印刷版ISSN：2164-5167
电子版ISSN：2164-5175
出版年度：2017
卷号：07
期号：07
页码：833-854
DOI：10.4236/ajibm.2017.77059
语种：English
出版社：Scientific Research Publishing
摘要：The paper compares three portfolio optimization models. Modern portfolio theory (MPT) is a short-horizon volatility model. The relevant time horizon is the sampling interval. MPT is myopic and implies that investors are not concerned with long-term variance or mean-reversion. Intertemporal portfolio choice is a multiple period model that revises portfolios continuously in response to relevant signals to reduce variance of terminal wealth over the holding period. Digital portfolio theory (DPT) is a non-myopic, discrete time, long-horizon variance model that does not include volatility. DPT controls mean-reversion variances in single period solutions based on holding period and hedging and speculative demand.
