Nonstationarity and Portfolio Choice

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http://eprints.org/relation/isVersionOf https://pure.iiasa.ac.at/id/document/6 http://eprints.org/relation/isVolatileVersionOf https://pure.iiasa.ac.at/id/document/6 http://eprints.org/relation/isCoversheetVersionOf https://pure.iiasa.ac.at/id/document/6 archive 351 disk0/00/00/00/13 2016-01-15 01:40:30 2021-08-27 17:07:18 2016-01-15 01:40:30 monograph show 2 Barry C.B. AL12013 Winkler R.L. AL0421 Nonstationarity and Portfolio Choice pub iis_met prog_sds In this paper some effects of nonstationary parameters upon inferences and decisions in portfolio analysis are investigated. A Bayesian inferential model with nonstationary parameters is presented and is applied to the problem of portfolio choice. For this model, nonstationarity 1) implies greater uncertainty about future returns; 2) implies that in forecasting future returns, recent returns should receive more weight than not-so-recent returns; 3) restricts the amount of information that can be obtained about future values of the parameters of interest; 4) shifts investment among risky securities and from risky securities to risk-free securities; and 5) yields optimal portfolios with smaller expected returns than corresponding optimal portfolios in the stationary case. 1973-11 published RR-73-012 RR-73-012 10 2632 2520 public research_report IIASA, Laxenburg, Austria 29 TRUE FALSE info:eu-repo/semantics/book