Research and publications
Dynamic Portfolio Choice with Parameter Uncertainty and the Economic Value of Analysts’ Recommendations
In this paper, the authors 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. They show that the hedging component induced by learning about the expected return can be a substantial part of our demand. A revisited version of this paper was published in the Winter 2006 issue of the Review of Financial Studies.
Author(s):
Jakša Cvitanic, Ali Lazrak, Lionel Martellini, Fernando Zapatero.
Summary:
In this paper, the authors 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. They show that the hedging component induced by learning about the expected return can be a substantial part of our demand. A revisited version of this paper was published in the Winter 2006 issue of the Review of Financial Studies.
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Register/Log in| Type : | Working paper |
|---|---|
| Date : | 23/07/2005 |
| Keywords : |
Asset Allocation |
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