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Optimal Portfolio Policies Under Time-dependent Returns

Fernando Restoy

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Description:This paper investigates analytically and numerically intertemporal equilibrium portfolio policies under time dependent returns. The analysis is performed using a new method for obtaining approximate closed form solutions to the optimal portfolio-consumption problem that does not require the imposition of constraints on the conditional moments of consumption and that allows for autoregressive conditional heteroskedasticity in stock returns. The analytical and numerical results show that the elasticity of intertemporal substitution is irrelevant for the determination of the portfolio policy when returns are persistent and follow GARCH processes. In addition, results show that small departures from the i.i.d. assumption produce an important variability in the portfolio holdings that contrasts with the static CAPM constant portfolio policies. However, a conditional version of the static CAPM with the inclusion of a Jensen inequality correction is able to explain the overwhelming majority of the mean and almost all the variability of portfolio.We have made it easy for you to find a PDF Ebooks without any digging. And by having access to our ebooks online or by storing it on your computer, you have convenient answers with Optimal Portfolio Policies Under Time-dependent Returns. To get started finding Optimal Portfolio Policies Under Time-dependent Returns, you are right to find our website which has a comprehensive collection of manuals listed.
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Pages: 48

Format: PDF, EPUB & Kindle Edition

Publisher: —

Release: 1992

ISBN: Xm1AAAAAYAAJ

Description: This paper investigates analytically and numerically intertemporal equilibrium portfolio policies under time dependent returns. The analysis is performed using a new method for obtaining approximate closed form solutions to the optimal portfolio-consumption problem that does not require the imposition of constraints on the conditional moments of consumption and that allows for autoregressive conditional heteroskedasticity in stock returns. The analytical and numerical results show that the elasticity of intertemporal substitution is irrelevant for the determination of the portfolio policy when returns are persistent and follow GARCH processes. In addition, results show that small departures from the i.i.d. assumption produce an important variability in the portfolio holdings that contrasts with the static CAPM constant portfolio policies. However, a conditional version of the static CAPM with the inclusion of a Jensen inequality correction is able to explain the overwhelming majority of the mean and almost all the variability of portfolio.We have made it easy for you to find a PDF Ebooks without any digging. And by having access to our ebooks online or by storing it on your computer, you have convenient answers with Optimal Portfolio Policies Under Time-dependent Returns. To get started finding Optimal Portfolio Policies Under Time-dependent Returns, you are right to find our website which has a comprehensive collection of manuals listed.
Our library is the biggest of these that have literally hundreds of thousands of different products represented.

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Optimal Portfolio Policies Under Time-dependent Returns

Optimal Portfolio Policies Under Time-dependent Returns

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