Skip to main content
Article thumbnail
Location of Repository

Optimal Portfolio Decision Making Where the Horizon is Infinite

By Bruce L. Miller


We consider a portfolio model with an infinite planning horizon. It is shown that the investment policy of maximizing the expected log each period is optimal when the utility function depends only on the tail of the sequence representing the capital at each period.

DOI identifier: 10.1287/mnsc.22.2.220
OAI identifier:
Download PDF:
Sorry, we are unable to provide the full text but you may find it at the following location(s):
  • (external link)
  • Suggested articles

    To submit an update or takedown request for this paper, please submit an Update/Correction/Removal Request.