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On Optimal Myopic Portfolio Policies, With and Without Serial Correlation of Yields

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  • Hakansson, Nils H
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    Article provided by University of Chicago Press in its journal Journal of Business.

    Volume (Year): 44 (1971)
    Issue (Month): 3 (July)
    Pages: 324-34

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    Handle: RePEc:ucp:jnlbus:v:44:y:1971:i:3:p:324-34

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    Cited by:
    1. Grauer, Robert R. & Hakansson, Nils H., 1995. "Stein and CAPM estimators of the means in asset allocation," International Review of Financial Analysis, Elsevier, Elsevier, vol. 4(1), pages 35-66.
    2. Hagelin, Niclas & Pramborg, Bengt, 2004. "Dynamic investment strategies with and without emerging equity markets," Emerging Markets Review, Elsevier, Elsevier, vol. 5(2), pages 193-215, June.
    3. Schmalensee, Richard., 1978. "A simple model of risk and return on long-lived tangible assets," Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management 1036-78., Massachusetts Institute of Technology (MIT), Sloan School of Management.
    4. Dokuchaev, Nikolai, 2007. "Discrete time market with serial correlations and optimal myopic strategies," European Journal of Operational Research, Elsevier, Elsevier, vol. 177(2), pages 1090-1104, March.
    5. Leonid Kogan & Raman Uppal, 2001. "Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies," NBER Working Papers 8609, National Bureau of Economic Research, Inc.
    6. Bernard Dumas, 1986. "Two-Person Dynamic Equilibrium: Trading in the Capital Market," NBER Working Papers 2016, National Bureau of Economic Research, Inc.
    7. Lioui, Abraham & Poncet, Patrice, 2001. "On optimal portfolio choice under stochastic interest rates," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 25(11), pages 1841-1865, November.
    8. John Board & Charles Sutcliffe, 2005. "Joined-Up Pensions Policy in the UK: An Asset-Libility Model for Simultaneously Determining the Asset Allocation and Contribution Rate," ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University icma-dp2005-11, Henley Business School, Reading University.
    9. Yingdong Lv & Bernhard K. Meister, 2009. "Application of the Kelly Criterion to Ornstein-Uhlenbeck Processes," Papers 0903.2910, arXiv.org.
    10. Grauer, Robert R. & Shen, Frederick C., 2000. "Do constraints improve portfolio performance?," Journal of Banking & Finance, Elsevier, Elsevier, vol. 24(8), pages 1253-1274, August.
    11. Goll, Thomas & Kallsen, Jan, 2000. "Optimal portfolios for logarithmic utility," Stochastic Processes and their Applications, Elsevier, Elsevier, vol. 89(1), pages 31-48, September.
    12. Alexandra Rodkina & Nikolai Dokuchaev, 2014. "On asymptotic optimality of Merton's myopic portfolio strategies for discrete time market," Papers 1403.4329, arXiv.org.
    13. Asgharian, Hossein & Liu, Lu & Lundtofte, Frederik, 2014. "Institutional Quality, Trust and Stock Market Participation: Learning to Forget," Knut Wicksell Working Paper Series 2014/2, Knut Wicksell Centre for Financial Studies, Lund University.
    14. Kannai, Yakar & Selden, Larry & Wei, Xiao, 2014. "Myopic separability," Journal of Economic Behavior & Organization, Elsevier, Elsevier, vol. 103(C), pages 125-144.

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