| 000 | 02397cam a22003497 4500 | ||
|---|---|---|---|
| 001 | w10934 | ||
| 003 | NBER | ||
| 005 | 20211020112649.0 | ||
| 006 | m o d | ||
| 007 | cr cnu|||||||| | ||
| 008 | 210910s2004 mau fo 000 0 eng d | ||
| 100 | 1 |
_aBrandt, Michael W. _96761 |
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| 245 | 1 | 2 |
_aA Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability / _cMichael W. Brandt, Amit Goyal, Pedro Santa-Clara, Jonathan Storud. |
| 260 |
_aCambridge, Mass. _bNational Bureau of Economic Research _c2004. |
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_a1 online resource: _billustrations (black and white); |
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| 490 | 1 |
_aNBER working paper series _vno. w10934 |
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| 500 | _aNovember 2004. | ||
| 520 | 3 | _aWe present a simulation-based method for solving discrete-time portfolio choice problems involving non-standard preferences, a large number of assets with arbitrary return distribution, and, most importantly, a large number of state variables with potentially path-dependent or non-stationary dynamics. The method is flexible enough to accommodate intermediate consumption, portfolio constraints, parameter and model uncertainty, and learning. We first establish the properties of the method for the portfolio choice between a stock index and cash when the stock returns are either iid or predictable by the dividend yield. We then explore the problem of an investor who takes into account the predictability of returns but is uncertain about the parameters of the data generating process. The investor chooses the portfolio anticipating that future data realizations will contain useful information to learn about the true parameter values. | |
| 530 | _aHardcopy version available to institutional subscribers | ||
| 538 | _aSystem requirements: Adobe [Acrobat] Reader required for PDF files. | ||
| 538 | _aMode of access: World Wide Web. | ||
| 588 | 0 | _aPrint version record | |
| 690 | 7 |
_aG1 - General Financial Markets _2Journal of Economic Literature class. |
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| 700 | 1 |
_aGoyal, Amit. _911730 |
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| 700 | 1 |
_aSanta-Clara, Pedro. _920139 |
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| 700 | 1 | _aStorud, Jonathan. | |
| 710 | 2 | _aNational Bureau of Economic Research. | |
| 830 | 0 |
_aWorking Paper Series (National Bureau of Economic Research) _vno. w10934. |
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| 856 | 4 | 0 | _uhttps://www.nber.org/papers/w10934 |
| 856 |
_yAcceso en línea al DOI _uhttp://dx.doi.org/10.3386/w10934 |
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_2ddc _cW-PAPER |
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_c337230 _d295792 |
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