The DOI matches its Crossref record; 13 of the 13 references it cites were found in a registry or an index.
The Role of Learning in Dynamic Portfolio Decisions
Open accessAbstract
This paper analyzes the effect of uncertainty about the mean return on the risky asset on the portfolio decisions of an investor who has a long investment horizon. Building on the earlier work of Detemple (1986), Dothan and Feldman (1986), and Gennotte (1986), it is shown that the possibility of future learning about the mean return on the risky asset induces the investor to take a larger or smaller position in the risky asset than she would if there were no learning, the direction of the effect depending on whether the investor is more or less risk tolerant than the logarithmic investor whose portfolio decisions are unaffected by the possibility of future learning. Numerical calculations show that uncertainty about the mean return on the market portfolio has a significant effect on the portfolio decision of an investor with a 20 year horizon if her assessment of the market risk premium is based solely on the Ibbotson and Sinquefield (1995) data.
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Cites
Optimum consumption and portfolio rules in a continuous-time model
Merton, R. C. (1971) · Journal of Economic Theory · doi:10.1016/0022-0531(71)90038-x · Cited by 5,958
Mehra, R., & Prescott, E. C. (1985) · Journal of Monetary Economics · doi:10.1016/0304-3932(85)90061-3 · Cited by 5,535
An intertemporal asset pricing model with stochastic consumption and investment opportunities
Breeden, D. T. (1979) · Journal of Financial Economics · doi:10.1016/0304-405x(79)90016-3 · Cited by 2,692
Statistics of Random Processes
Insana, M. F. (2021) · Cambridge University Press eBooks · doi:10.1017/9781316831823.004 · Cited by 2,067
LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING
Samuelson, P. A. (1975) · Stochastic Optimization Models in Finance · doi:10.1016/b978-0-12-780850-5.50044-7 · Cited by 1,937
On the Predictability of Stock Returns: An Asset‐Allocation Perspective
KANDEL, S., & STAMBAUGH, R. F. (1996) · The Journal of Finance · doi:10.1111/j.1540-6261.1996.tb02689.x · Cited by 673
The effect of estimation risk on optimal portfolio choice
Klein, R. W., & Bawa, V. S. (1976) · Journal of Financial Economics · doi:10.1016/0304-405x(76)90004-0 · Cited by 531
Optimal Portfolio Choice Under Incomplete Information
GENNOTTE, G. (1986) · The Journal of Finance · doi:10.1111/j.1540-6261.1986.tb04538.x · Cited by 436
Asset Pricing in a Production Economy with Incomplete Information
DETEMPLE, J. B. (1986) · The Journal of Finance · doi:10.1111/j.1540-6261.1986.tb05043.x · Cited by 338
Estimation Risk and Optimal Portfolio Choice.
Merville, L. J., Bawa, V. S., Brown, S. J., & Klein, R. W. (1981) · The Journal of Finance · doi:10.2307/2327477 · Cited by 304
Cited by
Investing for the Long Run when Returns Are Predictable
Barberis, N. (2000) · The Journal of Finance · doi:10.1111/0022-1082.00205 · Cited by 1,372
Model Uncertainty and Option Markets with Heterogeneous Beliefs
BURASCHI, A., & JILTSOV, A. (2006) · The Journal of Finance · doi:10.1111/j.1540-6261.2006.01006.x · Cited by 346
Why do (some) households trade so much?
Linnainmaa, J. T. (2011) · Review of Financial Studies · doi:10.1093/rfs/hhr009 · Cited by 141
Metadata
- Authors
- Brennan, M. J.
- Venue
- Review of Finance
- Publisher
- Oxford University Press (OUP)
- Published
- 1998-12-01
- Volume
- 1
- Issue
- 3
- Pages
- 295-306
- ISSN
- 1382-6662 (ISSN-L)
- 1572-3097
- 1573-692X
- OpenAlex
- W1995236180
- Cited by
- 388
- References
- 13
- FWCI
- 12.56
- Type
- journal article
- Language
- en
- Open access
- green
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Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
