Portfolios for Long-Term Investors*

Rare disasters and asset markets in the twentieth century

John H Cochrane

Review of Finance, 2022, vol. 26, issue 1, 1-42

Abstract: How should long-term investors form portfolios in our time-varying, multi-factor and friction-filled world? Two conceptual frameworks may help: first, look directly at the stream of payments that a portfolio and payout policy can produce. Second, include a general equilibrium view of the markets’ economic purpose, and the nature of investors’ different preferences, risk-taking ability, and function in that equilibrium. These perspectives can rationalize some of investors’ behaviors, suggest substantial revisions to standard portfolio theory, and help us to apply portfolio theory in a way that is useful in practice.

Keywords: Portfolios; Portfolio theory; investment (search for similar items in EconPapers)
JEL-codes: G11 G50 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

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