Contrary to static mean-variance analysis, very few papers have dealt with dynamic mean-variance analysis. Here, the mean-variance efficient self-financing portfolio strategy is derived for n risky assets in discrete and continuous time. In the discrete setting, the resulting portfolio is...

This paper discusses how to introduce liquidity into the well known mean-variance framework of portfolio selection using a representative sample of Spanish equity portfolios. Either by estimating mean-variance liquidity constrained frontiers or directly estimating optimal portfolios for...

In the experimental scenario several agents repeatedly invest in n (n2) state-specific assets. The evolutionarily stable and equilibrium (Blume and Easley, 1992) portfolio for this situation requires to distribute funds according to the constant probabilities of the various states. The different...

Die strategische Asset Allokation ist die für den langfristigen Anlageerfolg wichtigste Entscheidung eines Kapitalanlegers. Eine fundierte Entscheidung erfordert einen mehrstufigen, strukturierten Prozess. Der Anleger muss sich mit den realistischen Chancen des Kapitalmarktes und mit seinen...

In der Makroökonomik werden Liquiditätsfallen ohne Mikrofundierung als existent angenommen und die Japan-Krise hat Liquiditätsfallen wieder zum Diskussionsthema gemacht. Deshalb wird die Frage der Existenz von Liquiditätsfallen hier portfolio-theoretisch untersucht im Rahmen eines...

This paper addresses the open debate about the usefulness of high-frequency (HF) data in large-scale portfolio allocation. Daily covariances are estimated based on HF data of the S&P 500 universe employing a blocked realized kernel estimator. We propose forecasting covariance matrices using a...

We analytically show that a common across rich/poor individuals Stone-Geary utility function with subsistence consumption in the context of a simple two-asset portfolio-choice model is capable of qualitatively and quantitatively explaining: (i) the higher saving rates of the rich, (ii) the...

The specification of prior parameters is a common practical problem when implementing Bayesian approaches to portfolio optimization. The precision parameter of the prior on the expected asset returns reflects the confidence of the investor in the prior knowledge. Within the framework of the...

This paper develops an open economy portfolio balance model with endogenous asset supply. Domestic producers finance capital goods through credit and bonds in accordance with debt capital costs as well as through equity assets. Private households hold a portfolio of domestic and foreign assets,...