Skip Navigation

This Article
Right arrow Full Text (PDF)
Right arrow Alert me when this article is cited
Right arrow Alert me if a correction is posted
Services
Right arrow Email this article to a friend
Right arrow Similar articles in this journal
Right arrow Similar articles in ISI Web of Science
Right arrow Alert me to new issues of the journal
Right arrow Add to My Personal Archive
Right arrow Download to citation manager
Right arrow Search for citing articles in:
ISI Web of Science (64)
Right arrowRequest Permissions
Google Scholar
Right arrow Articles by Kim, T. S.
Right arrow Articles by Omberg, E.
Right arrow Search for Related Content
Social Bookmarking
Add to CiteULike   Add to Connotea   Add to Del.icio.us  
What's this?

Rev Fin 1996; 9:141-161
© 1996 the Society for Financial Studies

Article

Dynamic nonmyopic portfolio behavior

TS Kim and E Omberg
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 who trades a risk-free and risky asset is derived for all HARA 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 assets; 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. The analytical solutions derived take multiple mathematical forms and include extreme cases in which investors with long but finite horizons can attain nirvana.


Add to CiteULike CiteULike   Add to Connotea Connotea   Add to Del.icio.us Del.icio.us    What's this?


This article has been cited by other articles:


Home page
 REV FINANC STUDHome page
M. Guidolin and A. Timmermann
International asset allocation under regime switching, skew, and kurtosis preferences
Rev. Financ. Stud., April 1, 2008; 21(2): 889 - 935.
[Abstract] [Full Text] [PDF]

Home page
 JOURNAL OF FINANCIAL ECONOMETRICSHome page
M. Guidolin and A. Timmermann
Size and Value Anomalies under Regime Shifts
J. Financial Econometrics, January 1, 2008; 6(1): 1 - 48.
[Abstract] [Full Text] [PDF]

Home page
 REV FINANC STUDHome page
J. Liu
Portfolio Selection in Stochastic Environments
Rev. Financ. Stud., January 1, 2007; 20(1): 1 - 39.
[Abstract] [Full Text] [PDF]

Home page
 REV FINANC STUDHome page
G. Chacko and L. M. Viceira
Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets
Rev. Financ. Stud., December 1, 2005; 18(4): 1369 - 1402.
[Abstract] [Full Text] [PDF]

Home page
 REV FINANC STUDHome page
M. W. Brandt, A. Goyal, P. Santa-Clara, and J. R. Stroud
A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability
Rev. Financ. Stud., September 1, 2005; 18(3): 831 - 873.
[Abstract] [Full Text] [PDF]


Disclaimer:
Please note that abstracts for content published before 1996 were created through digital scanning and may therefore not exactly replicate the text of the original print issues. All efforts have been made to ensure accuracy, but the Publisher will not be held responsible for any remaining inaccuracies. If you require any further clarification, please contact our Customer Services Department.