  Assume (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.
