Portfolios for Long-Term Investors

John Cochrane

No 28513, NBER Working Papers from National Bureau of Economic Research, Inc

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 practically useful.

JEL-codes: G11 G12 (search for similar items in EconPapers)
Date: 2021-02
New Economics Papers: this item is included in nep-cwa and nep-rmg
Note: AP EFG
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Citations: View citations in EconPapers (6)

Published as John H Cochrane, 2022. "Portfolios for Long-Term Investors," Review of Finance, vol 26(1), pages 1-42.

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