MARC Record from Library of Congress

LEADER: 02161cam a22002897a 4500
001 2005615626
003 DLC
005 20050113080046.0
007 cr |||||||||||
008 050113s2004 mau sb 000 0 eng
010 $a 2005615626
040 $aDLC$cDLC
050 00 $aHB1
245 02 $aA simulation approach to dynamic portfolio choice with an application to learning about return predictability$h[electronic resource] /$cMichael W. Brandt ... [et al.]
260 $aCambridge, MA :$bNational Bureau of Economic Research,$cc2004
490 1 $aNBER working paper series ;$vworking paper 10934
538 $aSystem requirements: Adobe Acrobat Reader.
538 $aMode of access: World Wide Web.
500 $aTitle from PDF file as viewed on 1/13/2005.
530 $aAlso available in print.
504 $aIncludes bibliographical references.
520 3 $a"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.
650 0 $aPortfolio management$xEconometric models.
700 1 $aBrandt, Michael W.
710 2 $aNational Bureau of Economic Research.
830 0 $aWorking paper series (National Bureau of Economic Research : Online) ;$vworking paper no. 10934.
856 40 $uhttp://papers.nber.org/papers/W10934