Dynamic Asset Allocation under Uncertainty with Continuous Time Model

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概要

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• In this paper, I analyze temporal learning effects of the asset allocation decision of an investor, with a long investment horizon. The investor has uncertainty about the mean return of the risky stock (the state variable). Based on the work of Brennan (1998), it is shown theoretically that in the case only with the uncertainty of the mean return of the stock, the investor tends to increase an investment ratio on the risky stock by learning about the real state variable as time passes. The learning effect works in two ways, the reduction of the state variable uncertainty and the improvement of the state variable assessment. That is, the investor tends to decrease the hedge demand from the uncertainty of the state variable. The investor also improves the assessment of the state variable using the observed stock price at the same time.

• 名古屋商科大学の論文

著者

• 丹波 靖博

  名古屋商科大学会計ファイナンス研究科

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