The Role of Learning in Dynamic Portfolio Decisions *

DOI10.1023/A:1009725805128zbMath1029.91511OpenAlexW1995236180MaRDI QIDQ4798677

Michael J. Brennan

Publication date: 12 March 2003

Published in: Review of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1009725805128

zbMATH Keywords

portfoliolearningrisky asset

Mathematics Subject Classification ID

Related Items (45)

ASSET ALLOCATION AND ASSET PRICING IN THE FACE OF SYSTEMIC RISK: A LITERATURE OVERVIEW AND ASSESSMENT ⋮ Dynamic portfolio optimization with transaction costs and state-dependent drift ⋮ On the implied market price of risk under the stochastic numéraire ⋮ Semi-analytical solution for consumption and investment problem under quadratic security market model with inflation risk ⋮ Dynamic portfolio choice under the time-varying, jumps, and Knight uncertainty of asset return process ⋮ Optimal consumption and investment strategies with partial and private information in a multi-asset setting ⋮ Effective approximation methods for constrained utility maximization with drift uncertainty ⋮ PORTFOLIO OPTIMIZATION IN AFFINE MODELS WITH MARKOV SWITCHING ⋮ Perturbation Analysis for Investment Portfolios Under Partial Information with Expert Opinions ⋮ Optimal portfolio and certainty equivalence estimator for the appreciation rate ⋮ The behavior of individual and aggregate stock prices ⋮ Smart network based portfolios ⋮ Schumpeterian competition in a Lucas economy ⋮ Implicit incentives for fund managers with partial information ⋮ Dynamic portfolio choice under ambiguity and regime switching mean returns ⋮ Optimal investment, consumption and life insurance purchase with learning about return predictability ⋮ Consumption utility-based pricing and timing of the option to invest with partial information ⋮ A bounded risk strategy for a market with non-observable parameters. ⋮ Learning, pricing, timing and hedging of the option to invest for perpetual cash flows with idiosyncratic risk ⋮ Welfare effects of information and rationality in portfolio decisions under parameter uncertainty ⋮ Portfolio management with stochastic interest rates and inflation ambiguity ⋮ The impacts of uncertainties in a real options model under incomplete information ⋮ The value of knowing the market price of risk ⋮ On the structure of multifactor optimal portfolio strategies ⋮ Optimal portfolio choice for unobservable and regime-switching mean returns ⋮ The spillover effects of biofuel policy on participation in the conservation reserve program ⋮ Optimal portfolio choice and stochastic volatility ⋮ Interest rate options valuation under incomplete information ⋮ Incomplete information equilibria: separation theorems and other myths ⋮ Optimal investment under partial information ⋮ Continuous-time mean-variance portfolio optimization in a jump-diffusion market ⋮ Mutual fund theorem for continuous time markets with random coefficients ⋮ Portfolio selection under incomplete information ⋮ Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium ⋮ Time-consistency of optimal investment under smooth ambiguity ⋮ State-Dependent Utility ⋮ An optimal consumption and investment problem with partial information ⋮ Portfolio selection based on Bayesian theory ⋮ Should Commodity Investors Follow Commodities' Prices? ⋮ OPTIMAL CONSUMPTION AND PORTFOLIO DECISIONS WITH PARTIALLY OBSERVED REAL PRICES ⋮ Ignorance, pervasive uncertainty, and household finance ⋮ Does surplus/deficit sharing increase risk-taking in a corporate defined benefit pension plan? ⋮ Asset pricing under smooth ambiguity in continuous time ⋮ Information and inequality ⋮ Through the looking glass: indirect inference via simple equilibria

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