2026-07-072026-07-07http://salesiana.dossiersoluciones.com/handle/123456789/208894Assume (1) asset returns follow a stochastic multi-factor process with time-varying conditional expectations; (2) investments are linear functions of factors. This paper calculates asymptotic joint moments of the logarithm of investor's wealth and the factors. These formulas enable fast computation of a wide range of investment criteria. The results are illustrated by a numerical example that shows that the optimal portfolio rules are sensitive to the specification of the investment criterion.22 pages, 5 figures, forthcoming in International Journal of Theoretical and Applied Finance (IJTAF)Optimization and ControlPortfolio Management91B28; 60J70text