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Book/Printed Material A simulation approach to dynamic portfolio choice with an application to learning about return predictability

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Title

  • A simulation approach to dynamic portfolio choice with an application to learning about return predictability

Summary

  • "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.

Names

  • Brandt, Michael W.
  • National Bureau of Economic Research

Created / Published

  • Cambridge, MA : National Bureau of Economic Research, c2004

Headings

  • -  Portfolio management--Econometric models

Notes

  • -  Title from PDF file as viewed on 1/13/2005.
  • -  Includes bibliographical references.
  • -  Also available in print.
  • -  Mode of access: World Wide Web.
  • -  System requirements: Adobe Acrobat Reader.

Call Number/Physical Location

  • HB1

Digital Id

Library of Congress Control Number

  • 2005615626

Access Advisory

  • Unrestricted online access

Online Format

  • image
  • pdf

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Citations are generated automatically from bibliographic data as a convenience, and may not be complete or accurate.

Chicago citation style:

Brandt, Michael W, and National Bureau Of Economic Research. A Simulation Approach to Dynamic Portfolio Choice With an Application to Learning About Return Predictability. Cambridge, MA: National Bureau of Economic Research, 2004. Pdf. https://aj.sunback.homes/item/2005615626/.

APA citation style:

Brandt, M. W. & National Bureau Of Economic Research. (2004) A Simulation Approach to Dynamic Portfolio Choice With an Application to Learning About Return Predictability. Cambridge, MA: National Bureau of Economic Research. [Pdf] Retrieved from the Library of Congress, https://aj.sunback.homes/item/2005615626/.

MLA citation style:

Brandt, Michael W, and National Bureau Of Economic Research. A Simulation Approach to Dynamic Portfolio Choice With an Application to Learning About Return Predictability. Cambridge, MA: National Bureau of Economic Research, 2004. Pdf. Retrieved from the Library of Congress, <aj.sunback.homes/item/2005615626/>.