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- W2066014798 abstract "We derive a closed-form solution for the optimal portfolio of a non-myopic utility maximizer who has incomplete information about the alphas, or abnormal returns of risky securities We show that the hedging component induced by learning about the expected return can be a substantial part of the demand. Using our methodology, we perform an ex ante empirical exercise, which shows that the utility gains resulting from optimal allocation are substantial in general, especially for long horizons, and an ex post empirical exercise, which shows that analysts’ recommendations are not very useful." @default.
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- W2066014798 date "2006-01-01" @default.
- W2066014798 modified "2023-09-26" @default.
- W2066014798 title "Dynamic Portfolio Choice with Parameter Uncertainty and the Economic Value of Analysts’ Recommendations" @default.
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