Abstract
The static version of the mean-variance model of optimal portfolio investment has found very wide applications for the investor’s decision problem (Lin and Boot 1982, Mao 1969, Sharpe 1970, Ziemba and Vickson 1975). The dynamic version has not been so adequately analyzed in the standard literature, perhaps due to the specification problems of intertemporal variations in mean and variance of portfolio returns. Hillier (1963) attempted a nonlinear programming version of the intertemporal problem of risky interrelated investments with discounted cash flows that have random components over time. Dynamic stochastic programming models have also been considered for the consumer, who has to optimally decide between consumption and investment over his lifetime, when there are risky and also riskless assets (Ziemba and Vickson 1975). These models however, in their steady state, do not necessarily lead to a static mean-variance formulation of the standard portfolio model. Besides, they do not analyze specifically for the investor dealing inn risky assets such decision problems as risk-sensitivity, the length of the planning horizon.
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References
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© 1985 Martinus Nijhoff Publishers, Dordrecht
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Sengupta, J.K. (1985). Optimal portfolio investment in a dynamic horizon. In: Information and Efficiency in Economic Decision. Advanced Studies in Theoretical and Applied Econometrics, vol 4. Springer, Dordrecht. https://doi.org/10.1007/978-94-009-5053-5_8
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DOI: https://doi.org/10.1007/978-94-009-5053-5_8
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