On Tobin's Multiperiod Portfolio Theorem

This paper investigates the multi-period portfolio problem under the framework of Tobin. Specifically, the paper analyzes the optimal two-period portfolio strategy compared with the buy-and-hold strategy, the stochastic rebalancing strategy and the simple rebalancing strategy. According to the result of the numerical example, both the non-Tobin strategy and stochastic rebalancing strategy are better than Tobin strategy, even near the origin. Therefore, the Tobin’s multiperiod portfolio theorem is not always true.