Static and dynamic portfolio allocation with nonstandard utility functions
نویسنده
چکیده
This article builds on the mean-variance criterion and the links with the expected utility maximization to define the optimal allocation of portfolios, and extends the results in two ways, first considers tailored made utility functions, which can be non continuous and able to capture possible preferences associated with some portfolio managers. Second, it presents results that relate to static (myopic) portfolio allocation decisions connected to dynamic settings where multi-period allocations are considered and conditions are defined to rebalance the portfolio as new information arrive. The conditions are established for the compatibility of static and dynamic decisions associated with different utility functions.
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