skip to content
Optimal value and growth tilts in long-horizon portfolios Preview this item
ClosePreview this item
Checking...

Optimal value and growth tilts in long-horizon portfolios

Author: Jakub W Jurek; Luis M Viceira; National Bureau of Economic Research.
Publisher: Cambridge, Mass. : National Bureau of Economic Research, 2006.
Series: Working paper series (National Bureau of Economic Research), no. 12017.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Database:WorldCat
Summary:
Abstract: We develop an analytical solution to the dynamic portfolio choice problem of an investor with power utility defined over wealth at a finite horizon who faces an investment opportunity set with time-varying risk premia, real interest rates and inflation. The variation in investment opportunities is captured by a flexible vector autoregressive parameterization, which readily accommodates a large number of  Read more...
Rating:

(not yet rated) 0 with reviews - Be the first.

Subjects
More like this

 

Find a copy online

Find a copy in the library

&AllPage.SpinnerRetrieving; Finding libraries that hold this item...

Details

Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Jakub W Jurek; Luis M Viceira; National Bureau of Economic Research.
OCLC Number: 63526376
Notes: January 2006.
Cover title.
Description: 1 online resource (1 v.)
Series Title: Working paper series (National Bureau of Economic Research), no. 12017.
Responsibility: Jakub W. Jurek, Luis M. Viceira.

Abstract:

Abstract: We develop an analytical solution to the dynamic portfolio choice problem of an investor with power utility defined over wealth at a finite horizon who faces an investment opportunity set with time-varying risk premia, real interest rates and inflation. The variation in investment opportunities is captured by a flexible vector autoregressive parameterization, which readily accommodates a large number of assets and state variables. We find that the optimal dynamic portfolio strategy is an affine function of the vector of state variables describing investment opportunities, with coefficients that are a function of the investment horizon. We apply our method to the optimal portfolio choice problem of an investor who can choose between value and growth stock portfolios, and among these equity portfolios plus bills and bonds. For equity-only investors, the optimal mean allocation of short-horizon investors is heavily tilted away from growth stocks regardless of their risk aversion. However, the mean allocation to growth stocks increases dramatically with the investment horizon, implying that growth is less risky than value at long horizons for equity-only investors. By contrast, long-horizon conservative investors who have access to bills and bonds do not hold equities in their portfolio. These investors are concerned with interest rate risk, and empirically growth stocks are not particularly good hedges for bond returns. We also explore the welfare implications of adopting the optimal dynamic rebalancing strategy vis a vis other intuitive, but suboptimal, portfolio choice schemes and find significant welfare gains for all long-horizon investors

Reviews

User-contributed reviews
Retrieving GoodReads reviews...
Retrieving DOGObooks reviews...

Tags

Be the first.

Similar Items

Confirm this request

You may have already requested this item. Please select Ok if you would like to proceed with this request anyway.

Linked Data


<http://www.worldcat.org/oclc/63526376>
library:oclcnum"63526376"
library:placeOfPublication
library:placeOfPublication
owl:sameAs<info:oclcnum/63526376>
rdf:typeschema:Book
schema:about
schema:about
<http://id.worldcat.org/fast/1072078>
rdf:typeschema:Intangible
schema:name"Portfolio management--Econometric models"@en
schema:name"Portfolio management--Econometric models."@en
schema:bookFormatschema:EBook
schema:contributor
schema:contributor
schema:creator
schema:datePublished"2006"
schema:exampleOfWork<http://worldcat.org/entity/work/id/47669291>
schema:inLanguage"en"
schema:name"Optimal value and growth tilts in long-horizon portfolios"@en
schema:publisher
schema:url
schema:url<http://papers.nber.org/papers/w12017>

Content-negotiable representations

Close Window

Please sign in to WorldCat 

Don't have an account? You can easily create a free account.