This paper develops an analytical approximation for the distribution function of a terminal value of a periodic series of buyandhold investments placed over a fixed time horizon for the case when log returns of assets follow a pth order vector autoregressive process. The derivation is based on a first order Taylor conditioned approximation with a suitably chosen conditioning variable. The results indicate a remarkably good fit between the approximating procedure and simulations based on realistic parameters.
COBISS.SI-ID: 19878630