کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
476559 1445998 2015 15 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
On the exact solution of the multi-period portfolio choice problem for an exponential utility under return predictability
ترجمه فارسی عنوان
در مورد راه حل دقیق مشکل انتخاب مجموعه چند دوره ای برای یک ابزار نمایشی تحت پیش بینی بازگشت
کلمات کلیدی
تخصیص دارایی چند دوره ای، بهینه سازی پیش بینی شده، تابع ویژگی نمایشگر، پیش بینی پذیری بازگشت
موضوعات مرتبط
مهندسی و علوم پایه مهندسی کامپیوتر علوم کامپیوتر (عمومی)
چکیده انگلیسی


• We consider the multi-period portfolio choice problem for an exponential utility.
• The closed-form solution is derived under return predictability.
• The results without predictable variables are obtained as a partial case.
• The cumulative empirical distribution function of the investor’s wealth is analyzed.

In this paper we derive the exact solution of the multi-period portfolio choice problem for an exponential utility function under return predictability. It is assumed that the asset returns depend on predictable variables and that the joint random process of the asset returns and the predictable variables follow a vector autoregressive process. We prove that the optimal portfolio weights depend on the covariance matrices of the next two periods and the conditional mean vector of the next period. The case without predictable variables and the case of independent asset returns are partial cases of our solution. Furthermore, we provide an exhaustive empirical study where the cumulative empirical distribution function of the investor’s wealth is calculated using the exact solution. It is compared with the investment strategy obtained under the additional assumption that the asset returns are independently distributed.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: European Journal of Operational Research - Volume 246, Issue 2, 16 October 2015, Pages 528–542
نویسندگان
, , ,