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I am interested in optimal portfolios in a multi-period setting

To be more precise, say I have an investment horzion over $T$ periods and the market consists of $N$ assets. I simulated future asset returns and have a total of $K$ scenarios. Let $$ r_{n, t, k} \quad \ n \leq N, \ \ t \leq T, \ \ k \leq K, $$ denote the excess return of investment $n$ at time $t$ in scenario $k$.

I am interested in static portfolios: portfolios which are set up at time $0$ and which do not change over time.

What are some good optimality criterions? Is there something like a minimum-variance portfolio or a tangency portfolio in this setting?

Can anyone point me towards literature for optimal portfolios in the setting above?

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    $\begingroup$ Hi @Cettt do you kow the 2022 paper of Lezmi, Roncalli and Xu? This is one of the view papers that I know of that treats a multi-period portfolio optimization setting: thierry-roncalli.com/download/… $\endgroup$
    – Richi Wa
    Sep 29 at 10:35

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