Towards a robust multi-period efficient frontier
Portfolio should be risk/return Pareto efficient
Does not use intermediate info
Investing is a repeated game
Kelly: if distribution known, calculate terminal wealth optimizer
Cover: no assumptions, compare with a good benchmark
No statistical assumptions
Define a 'best strategy in hindsight' a la Markowitz
Minimize maximum distance to best strategy
Repeat for different risk preferences to build efficient frontier
Why no statistical assumptions?
Assets get (de)listed
Trump starts a tariff war
Why that arbitrary benchmark?
Find efficient frontier
Include transaction costs
Optimal rebalancing frequency
Slides available at sebastiaanvermeulen.nl/slides/online-portfolios
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