A Non-linear Model of Portfolio Behaviour With Time-varying Expectations and Risks

David Blake

Chapter 4 in Risk, Portfolio Management and Capital Markets, 1992, pp 54-78 from Palgrave Macmillan

Abstract: Abstract There are now many examples of empirical single-period mean-variance (mv) models of portfolio behaviour.1 The main features of these models are that: 1. the mv utility functions underlying their optimising behaviour have marginal rates of substitution between m and v that are independent of asset holdings; this leads to linear asset demand systems with the optimal holdings of assets determined explicitly; 2. the estimates of the expectations and risks of the returns on the assets in the portfolios are generally backward-looking, often determined as constants or moving averages from the historical sample; 3. little attention is generally paid to the question of the dynamic adjustment of the portfolio; this implicitly assumes that individuals are always, or are at least quite close to, holding optimal portfolios.

Keywords: Asset Price; Portfolio Selection; Rational Expectation; Asset Return; Dynamic Adjustment (search for similar items in EconPapers)
Date: 1992
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pal:palchp:978-1-349-11666-9_5

Ordering information: This item can be ordered from
http://www.palgrave.com/9781349116669

DOI: 10.1007/978-1-349-11666-9_5

Access Statistics for this chapter

More chapters in Palgrave Macmillan Books from Palgrave Macmillan
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().