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• W2138082154 abstract "We derive an explicit solution to the portfolio problem of a power utility investor with preferences for wealth at a ¯nite investment horizon. The investor can invest in assets with return dynamics described as part of a general multivariate model. The modeling framework encompasses discrete-time VAR-models where some of the state-variables (e.g. expected excess returns) may not be directly observable. A realistic multivariate model is estimated and applied to analyze the portfolio implications of investment horizon and return predictability when real interest rates and expected excess returns on stock and bonds are not directly observed but must be estimated as part of the problem faced by the investor. The solution exhibits small variability in portfolio allocations over time compared to the case when excess returns are assumed observable." @default.
• W2138082154 created "2016-06-24" @default.
• W2138082154 creator A5023522748 @default.
• W2138082154 creator A5080242015 @default.
• W2138082154 date "2004-01-01" @default.
• W2138082154 modified "2023-10-02" @default.
• W2138082154 title "Dynamic asset allocation and latent variables" @default.
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• W2138082154 hasPublicationYear "2004" @default.
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