On Tobin's Multiperiod Portfolio Theorem

Heping Xiong () and Jingming Zhou
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Heping Xiong: Department of Finance, Economics and Management School of Wuhan University,Luojia Hill,Wuhan,China.
Jingming Zhou: Department of Finance,Economics and Management School of Wuhan University,Luojia Hill,Wuhan,China

Journal for Economic Forecasting, 2013, issue 3, 199-208

Abstract: This paper investigates the multi-period portfolio problem under the framework of Tobin. Specifically, the paper analyzes the optimal two-period portfolio strategy compared with the buy-and-hold strategy, the stochastic rebalancing strategy and the simple rebalancing strategy. According to the result of the numerical example, both the non-Tobin strategy and stochastic rebalancing strategy are better than Tobin strategy, even near the origin. Therefore, the Tobin’s multiperiod portfolio theorem is not always true.

Keywords: Tobin’s multiperiod portfolio Theorem; the simple rebalancing Strategy (Tobin’s Strategy); non-Tobin’s Strategy; the buy-and-hold Strategy; the stochastic rebalancing strategy (search for similar items in EconPapers)
JEL-codes: G11 (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:rjr:romjef:v::y:2013:i:3:p:199-208

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