On Tobin's Multiperiod Portfolio Theorem
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.
Volume (Year): (2013)
Issue (Month): 3 (October)
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- 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.
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