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Dynamic Nonmyopic Portfolio Behavior

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Author Info
Kim, Tong Suk
Omberg, Edward
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 asset; 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. Article published by Oxford University Press on behalf of the Society for Financial Studies in its journal, The Review of Financial Studies.

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Publisher Info
Article provided by Oxford University Press for Society for Financial Studies in its journal Review of Financial Studies.

Volume (Year): 9 (1996)
Issue (Month): 1 ()
Pages: 141-61
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Handle: RePEc:oup:rfinst:v:9:y:1996:i:1:p:141-61

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This page was last updated on 2009-11-28.

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