Journal article
Efficient gradualism in intertemporal portfolios
Abstract
This paper examines intertemporal portfolio plans under autocorrelation in asset returns, and considers whether these plans conform to the common advice that risky assets be bought gradually and then held in decreasing amounts as the investment horizon approaches. Given elliptical returns, optimal portfolio plans with precommitment must be mean–variance efficient. Then, for ARMA (1,1) parameterizations with negative autocorrelation, the age …
Authors
Balvers RJ; Mitchell DW
Journal
Journal of Economic Dynamics and Control, Vol. 24, No. 1, pp. 21–38
Publisher
Elsevier
Publication Date
January 2000
DOI
10.1016/s0165-1889(98)00066-9
ISSN
0165-1889