This paper compares two approximation schemes for calculating the optimal portfolios in the discrete-time dynamic investment model, specifically, the mean-variance (MV) and the quadratic approximations, to the exact power function method. Future returns are estimated via the empirical...

This paper develops a normative model of the entrepreneur's decision problem in which the following elements are stochastic: the entrepreneur's preferences, his lifetime, the returns from investments, and the process obeyed by the interest rate. Furthermore, the entrepreneur's preferences are...

The implications of concentrating on the lowest moment(s) of average compound return over N periods in making investment decisions have recently been examined. In particular, maximization of expected average compound return has been shown to imply the existence of a utility of wealth function in...