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https://doi.org/10.2307/3594995

has been cited by the following article:

• TITLE: Modern Portfolio Theory, Digital Portfolio Theory and Intertemporal Portfolio Choice

  AUTHORS: C. Kenneth Jones

  KEYWORDS: Portfolio Theory, Portfolio Optimization, Mean-Reversion Risk, Long-Horizon Risk, Portfolio Diversification

  JOURNAL NAME: American Journal of Industrial and Business Management, Vol.7 No.7, July 6, 2017

  ABSTRACT: 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.