Dynamic nonmyopic portfolio behavior

被引：287
|
作者：
Kim, TS
Omberg, E
机构：
[1] SAN DIEGO STATE UNIV,COLL BUSINESS ADM,DEPT FINANCE,SAN DIEGO,CA 92182
[2] KOREA ADV INST SCI & TECHNOL,SEOUL 131,SOUTH KOREA
来源：
REVIEW OF FINANCIAL STUDIES | 1996年 / 9卷 / 01期
关键词：
D O I：
10.1093/rfs/9.1.141
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
The dynamic nonmyopic portfolio behavior of an investor who trades a risk-free and risky asset is derived for all NARA utility functions and a stochastic risk premium Conditions are found for when the investor holds more or less than the myopic amount of the risky asset; hedges against or speculates the risk-premium uncertainty; is long or short on the risky asset; and holds more or less of the risky asset at longer horizons. Tbe analytical solutions derived take multiple mathematical forms and include extreme cases in which investors with long but finite horizons can attain nirvana.
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页码：141 / 161
页数：21
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