A simulation approach to dynamic portfolio choice with an application to learning about return predictability
By: Michael W. Brandt ... [et al.]
Contributors: Brandt, Michael W.; National Bureau of Economic Research.
Series: NBER working paper series ;; working paper 10934; Working paper series (National Bureau of Economic Research : Online) ;; working paper no. 10934.
Publisher: National Bureau of Economic Research
Published: 2004
Place of publication: Cambridge, MA
Language: eng
Format: Electronic resource
Subjects: Portfolio management -- Econometric models.
Description: "We present a simulation-based method for solving discrete-time portfolio choice problems involving non-standard preferences, a large number of assets with arbitrary return distribution, and, most importantly, a large number of state variables with potentially path-dependent or non-stationary dynamics.  The method is flexible enough to accommodate intermediate consumption, portfolio constraints, parameter and model uncertainty, and learning.  We first establish the properties of the method for the portfolio choice between a stock index and cash when the stock returns are either iid or predictable by the dividend yield.  We then explore the problem of an investor who takes into account the predictability of returns but is uncertain about the parameters of the data generating process.  The investor chooses the portfolio anticipating that future data realizations will contain useful information to learn about the true parameter values"--National Bureau of Economic Research web site.
Notes: Also available in print.
Includes bibliographical references.
Title from PDF file as viewed on 1/13/2005.
System requirements: Adobe Acrobat Reader.
Mode of access: World Wide Web.