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Efficiency of Dynamic Portfolio Choices: An Experiment.
- Source :
- Review of Financial Studies; Mar2022, Vol. 35 Issue 3, p1279-1309, 31p
- Publication Year :
- 2022
-
Abstract
- We study the efficiency of dynamic portfolio choices using the nonparametric methods of Dybvig (1988) and Post (2003). We compare a dynamic portfolio task against an equivalent static Arrow-Debreu problem under two alternative environments: (1) nonpooled with |$2^T$| terminal states and (2) pooled with |$T+1$| unique terminal states. The results suggest that, within each environment, efficiency is lower in a static format and when the number of final states is larger. In the nonpooled dynamic task, which allows for path dependent strategies, we find that a form of stop-loss strategy drives efficiency losses. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 08939454
- Volume :
- 35
- Issue :
- 3
- Database :
- Complementary Index
- Journal :
- Review of Financial Studies
- Publication Type :
- Academic Journal
- Accession number :
- 155386577
- Full Text :
- https://doi.org/10.1093/rfs/hhab071