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On Tobin's Multiperiod Portfolio Theorem

Listed author(s):
  • Heping XIONG

    ()

    (Department of Finance, Economics and Management School of Wuhan University,Luojia Hill,Wuhan,China.)

  • Jingming ZHOU

    (Department of Finance,Economics and Management School of Wuhan University,Luojia Hill,Wuhan,China)

Registered author(s):

    This paper investigates the multi-period portfolio problem under the framework of Tobin. Specifically, the paper analyzes the optimal two-period portfolio strategy compared with the buy-and-hold strategy, the stochastic rebalancing strategy and the simple rebalancing strategy. According to the result of the numerical example, both the non-Tobin strategy and stochastic rebalancing strategy are better than Tobin strategy, even near the origin. Therefore, the Tobin’s multiperiod portfolio theorem is not always true.

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    File URL: http://www.ipe.ro/rjef/rjef3_13/rjef3_2013p199-208.pdf
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    Article provided by Institute for Economic Forecasting in its journal Romanian Journal for Economic Forecasting.

    Volume (Year): (2013)
    Issue (Month): 3 (October)
    Pages: 199-208

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    Handle: RePEc:rjr:romjef:v::y:2013:i:3:p:199-208
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    1. Elton, Edwin J & Gruber, Martin J, 1974. "The Multi-Period Consumption Investment Problem and Single Period Analysis," Oxford Economic Papers, Oxford University Press, vol. 26(2), pages 289-301, July.
    2. Lee, Cheng F. & Wu, Chunchi & Wei, K. C. John, 1990. "The Heterogeneous Investment Horizon and the Capital Asset Pricing Model: Theory and Implications," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(03), pages 361-376, September.
    3. Duan Li & Wan-Lung Ng, 2000. "Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation," Mathematical Finance, Wiley Blackwell, vol. 10(3), pages 387-406.
    4. Gressis, N & Philippatos, G C & Hayya, J, 1976. "Multiperiod Portfolio Analysis and the Inefficiency of the Market Portfolio," Journal of Finance, American Finance Association, vol. 31(4), pages 1115-1126, September.
    5. Hakansson, Nils H, 1971. "Multi-Period Mean-Variance Analysis: Toward A General Theory of Portfolio Choice," Journal of Finance, American Finance Association, vol. 26(4), pages 857-884, September.
    6. Chen, Andrew H Y & Jen, Frank C & Zionts, Stanley, 1971. "The Optimal Portfolio Revision Policy," The Journal of Business, University of Chicago Press, vol. 44(1), pages 51-61, January.
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