Allowing for correlated squared returns across two consecutive periods, portfolio theory for two periods is developed. This correlation makes it necessary to work with non-Gaussian models. The two-period conic portfolio problem is formulated and implemented. This development leads to a mean ask price frontier, where the latter employs concave distortions. The modeling permits access to skewness via randomized drifts. Optimal portfolios maximize a conservative market value seen as a bid price for the portfolio. On the mean ask price frontier we observe a tradeoff between the deterministic and random drifts and the volatility costs of increasing the deterministic drift. From a historical perspective, we also implement a mean-variance analysis. The resulting mean-variance frontier is three-dimensional expressing the minimal variance as a function of the targeted levels for the deterministic and random drift.

中文翻译：

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跨时间相关的平方收益的投资组合理论

考虑到两个连续期间的相关平方收益，发展了两个期间的投资组合理论。这种相关性使得有必要使用非高斯模型。拟定并实施了两周期圆锥组合问题。这种发展导致平均要价边界，后者采用凹形扭曲。该模型允许通过随机漂移获得偏度。最佳投资组合将保守的市场价值最大化，这被视为投资组合的买入价。在平均要价边界上，我们观察到确定性和随机漂移与增加确定性漂移的波动成本之间的权衡。从历史的角度来看，我们还执行均值方差分析。