Inefficient Dynamic Portfolio Strategies or How to Throw Away a Million Dollars in the Stock Market
成果类型：
Article
署名作者：
Dybvig, Philip H.
署名单位：
Yale University
刊物名称：
REVIEW OF FINANCIAL STUDIES
ISSN/ISSBN：
0893-9454
DOI：
10.1093/rfs/1.1.67
发表日期：
1988
页码：
67
关键词：
term structure
options
摘要：
A number of portfolio strategies followed by practitioners are dominated because they are incompletely diversified over time. The payoff distribution pricing model is used to compute the cost of following undiversified strategies. Simple numerical examples illustrate the technique, and computer-generated examples provide realistic estimates of the cost of some typical policies, using reasonable parameter values. The cost can be substantial and should not be ignored by practitioners. A section on generalizations shows bow to extend the analysis to term structure models and other general models of returns.
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