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.
引用
收藏
页码：141 / 161
页数：21
相关论文
共 50 条
  • [41] Dynamic Hedging of Portfolio Credit Derivatives
    Cont, Rama
    Kan, Yu Hang
    [J]. SIAM JOURNAL ON FINANCIAL MATHEMATICS, 2011, 2 (01): : 112 - 140
  • [42] Dynamic portfolio choice with deferred annuities
    Horneff, Wolfram
    Maurer, Raimond
    Rogalla, Ralph
    [J]. JOURNAL OF BANKING & FINANCE, 2010, 34 (11) : 2652 - 2664
  • [43] The optimal dynamic robust portfolio model
    [J]. Yu, X. (hnyuxing@163.com), 1600, Transport and Telecommunication Institute, Lomonosova street 1, Riga, LV-1019, Latvia (18):
  • [44] A DYNAMIC VIEW OF THE PORTFOLIO EFFICIENCY FRONTIER
    SENGUPTA, JK
    [J]. COMPUTERS & MATHEMATICS WITH APPLICATIONS, 1989, 18 (6-7) : 565 - 580
  • [45] Dynamic Simulation of Pension Funds' Portfolio
    Liutvinavicius, Marius
    Sakalauskas, Virgilijus
    [J]. BUSINESS INFORMATION SYSTEMS WORKSHOPS, BIS 2012, 2012, 127 : 69 - 80
  • [46] Dynamic asset trees and portfolio analysis
    J.-P. Onnela
    A. Chakraborti
    K. Kaski
    J. Kertiész
    [J]. The European Physical Journal B - Condensed Matter and Complex Systems, 2002, 30 : 285 - 288
  • [47] Dynamic Portfolio Execution and Information Relaxations
    Haugh, Martin
    Wang, Chun
    [J]. SIAM JOURNAL ON FINANCIAL MATHEMATICS, 2014, 5 (01): : 316 - 359
  • [48] Optimal Dynamic Portfolio Risk Management
    Zakamulin, Valeriy
    [J]. JOURNAL OF PORTFOLIO MANAGEMENT, 2016, 43 (01): : 85 - 99
  • [49] Efficiency of Dynamic Portfolio Choices: An Experiment
    Magnani, Jacopo
    Rabanal, Jean Paul
    Rud, Olga A.
    Wang, Yabin
    [J]. REVIEW OF FINANCIAL STUDIES, 2022, 35 (03): : 1279 - 1309
  • [50] Dynamic robust portfolio selection with copulas
    Han, Yingwei
    Li, Ping
    Xia, Yong
    [J]. FINANCE RESEARCH LETTERS, 2017, 21 : 190 - 200
12345