Dynamic nonmyopic portfolio behavior |
| |
Authors: | Kim TS; Omberg E |
| |
Institution: | Correspondence: E Omberg, Finance Department, College of Business Administration, San Diego State University, 5500 Campanile Drive, San Diego, CA 92182-8236, USA |
| |
Abstract: | The dynamic nonmyopic portfolio behavior of an investor whotrades a risk-free and risky asset is derived for all HARA utilityfunctions and a stochastic risk premium. Conditions are foundfor when the investor holds more or less than the myopic amountof the risky assets; hedges against or speculates the risk-premiumuncertainty; is long or short on the risky asset; and holdsmore or less of the risky asset at longer horizons. The analyticalsolutions derived take multiple mathematical forms and includeextreme cases in which investors with long but finite horizonscan attain nirvana. |
| |
Keywords: | |
本文献已被 Oxford 等数据库收录! |
|