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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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    File URL: http://dx.doi.org/10.1086/295383
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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: 324-334

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    Handle: RePEc:ucp:jnlbus:v:44:y:1971:i:3:p:324-34
    Contact details of provider: Web page: http://www.journals.uchicago.edu/JB/

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    Cited by:

    1. Dokuchaev, Nikolai, 2007. "Discrete time market with serial correlations and optimal myopic strategies," European Journal of Operational Research, Elsevier, vol. 177(2), pages 1090-1104, March.
    2. Leonid Kogan & Raman Uppal, "undated". "Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies," Rodney L. White Center for Financial Research Working Papers 13-00, Wharton School Rodney L. White Center for Financial Research.
    3. Schmalensee, Richard., 1978. "A simple model of risk and return on long-lived tangible assets," Working papers 1036-78., Massachusetts Institute of Technology (MIT), Sloan School of Management.
    4. Lioui, Abraham & Poncet, Patrice, 2001. "On optimal portfolio choice under stochastic interest rates," Journal of Economic Dynamics and Control, Elsevier, vol. 25(11), pages 1841-1865, November.
    5. Bernard Dumas, 1986. "Two-Person Dynamic Equilibrium: Trading in the Capital Market," NBER Working Papers 2016, National Bureau of Economic Research, Inc.
    6. Çanakoglu, Ethem & Özekici, Süleyman, 2010. "Portfolio selection in stochastic markets with HARA utility functions," European Journal of Operational Research, Elsevier, vol. 201(2), pages 520-536, March.
    7. Yingdong Lv & Bernhard K. Meister, 2009. "Application of the Kelly Criterion to Ornstein-Uhlenbeck Processes," Papers 0903.2910, arXiv.org.
    8. William T. Ziemba, 2013. "Portfolio optimization: theory and practical implementation," Chapters,in: Handbook of Research Methods and Applications in Empirical Finance, chapter 2, pages 45-72 Edward Elgar Publishing.
    9. Dokuchaev, Nikolai, 2010. "Optimality of myopic strategies for multi-stock discrete time market with management costs," European Journal of Operational Research, Elsevier, vol. 200(2), pages 551-556, January.
    10. Nikolai Dokuchaev, 2015. "Modelling Possibility of Short-Term Forecasting of Market Parameters for Portfolio Selection," Annals of Economics and Finance, Society for AEF, vol. 16(1), pages 143-161, May.
    11. Goll, Thomas & Kallsen, Jan, 2000. "Optimal portfolios for logarithmic utility," Stochastic Processes and their Applications, Elsevier, vol. 89(1), pages 31-48, September.
    12. Yu, Mei & Takahashi, Satoru & Inoue, Hiroshi & Wang, Shouyang, 2010. "Dynamic portfolio optimization with risk control for absolute deviation model," European Journal of Operational Research, Elsevier, vol. 201(2), pages 349-364, March.
    13. Asgharian, Hossein & Liu, Lu & Lundtofte, Frederik, 2014. "Institutional Quality, Trust and Stock-Market Participation: Learning to Forget," Working Papers 2014:39, Lund University, Department of Economics.
    14. Grauer, Robert R. & Hakansson, Nils H., 1995. "Stein and CAPM estimators of the means in asset allocation," International Review of Financial Analysis, Elsevier, vol. 4(1), pages 35-66.
    15. Hagelin, Niclas & Pramborg, Bengt, 2004. "Dynamic investment strategies with and without emerging equity markets," Emerging Markets Review, Elsevier, vol. 5(2), pages 193-215, June.
    16. John Board & Charles Sutcliffe, 2007. "Joined-Up Pensions Policy in the UK: An Asset-Liability Model for Simultaneously Determining the Asset Allocation and Contribution Rate," Economic Analysis, Institute of Economic Sciences, vol. 40(3-4), pages 87-118.
    17. Kannai, Yakar & Selden, Larry & Wei, Xiao, 2014. "Myopic separability," Journal of Economic Behavior & Organization, Elsevier, vol. 103(C), pages 125-144.
    18. Alexandra Rodkina & Nikolai Dokuchaev, 2014. "On asymptotic optimality of Merton's myopic portfolio strategies for discrete time market," Papers 1403.4329, arXiv.org, revised Nov 2014.
    19. Grauer, Robert R. & Shen, Frederick C., 2000. "Do constraints improve portfolio performance?," Journal of Banking & Finance, Elsevier, vol. 24(8), pages 1253-1274, August.

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