Risk Adjusted Growth Portfolio in a Finite Investment Horizon (Presentation Slides)

44 Pages Posted: 29 Jun 2015

See all articles by Marcos Lopez de Prado

Marcos Lopez de Prado

Cornell University - Operations Research & Industrial Engineering; AQR Capital Management, LLC

Ralph Vince

Vince Strategies LLC

Qiji Jim Zhu

Western Michigan University

Date Written: June 28, 2015

Abstract

Growth Optimal Portfolio (GOP) theory determines the path of bet sizes that maximize long-term wealth. How it is also known in practice GOP is too risky. We explain in this talk that the reason is in practice the investment horizon is finite and practitioners account for risk more explicitly. We develop risk adjusted growth portfolio and discuss how to implement. A full version of the paper is available in http://ssrn.com/abstract=2364092.

Keywords: Growth-optimal portfolio, risk management, Kelly Criterion, finite investment horizon, drawdown

JEL Classification: G10, G60, G70, C62, E60

Suggested Citation

López de Prado, Marcos and Vince, Ralph and Zhu, Qiji Jim, Risk Adjusted Growth Portfolio in a Finite Investment Horizon (Presentation Slides) (June 28, 2015). Available at SSRN: https://ssrn.com/abstract=2624329 or http://dx.doi.org/10.2139/ssrn.2624329

Marcos López de Prado

Cornell University - Operations Research & Industrial Engineering ( email )

237 Rhodes Hall
Ithaca, NY 14853
United States

HOME PAGE: http://www.orie.cornell.edu

AQR Capital Management, LLC

One Greenwich Plaza
Greenwich, CT 06830
United States

HOME PAGE: http://www.aqr.com

Ralph Vince

Vince Strategies LLC ( email )

405 Lexington Ave - 26th fl
New York, NY 10174
United States

HOME PAGE: http://vinceprime.com

Qiji Jim Zhu (Contact Author)

Western Michigan University ( email )

Kalamazoo, MI 49008
United States

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