On-line portfolio selection using stochastic programming
Article Abstract:
The family of adaptive portfolio selection policies, which rebalance the current portfolio during each decision period by adopting portfolio from a specified family with the best performance on the past data, is proposed. In the absence of transaction costs, the general conditions are found under which the policy yields asymptotically the same performance as the best portfolio from the same family constructed with the full knowledge of the future.
Publication Name: Journal of Economic Dynamics & Control
Subject: Economics
ISSN: 0165-1889
Year: 2003
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International portfolio choice, liquidity constraints and the home equity bias puzzle
Article Abstract:
The problem of optimal international portfolio choices is solved in the presence of liquidity constraints and undiversifiable labor income risk. It is found that the benefits of international diversification are limited because consumption fluctuations can be smoothed with a small amount of buffer saving, while exchange rate risk makes foreign investments less appealing to risk averse investors.
Publication Name: Journal of Economic Dynamics & Control
Subject: Economics
ISSN: 0165-1889
Year: 2003
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Optimal consumption-portfolio choices and retirement planning
Article Abstract:
The effects of habit formation, labor flexibility and retirement on life-cycle consumption-labor pattern of an individual are explored. Retirement is taken into account by specifying an age at which labor earnings stop, but consumption spending continues. The solutions and effects of the retirement date on the optimal consumption-leisure decisions are discussed.
Publication Name: Journal of Economic Dynamics & Control
Subject: Economics
ISSN: 0165-1889
Year: 2004
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