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On dynamic investment strategies

โœ Scribed by John C. Cox; Hayne E. Leland

Publisher
Elsevier Science
Year
2000
Tongue
English
Weight
169 KB
Volume
24
Category
Article
ISSN
0165-1889

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โœฆ Synopsis

This paper presents a new approach for analyzing dynamic investment strategies. Previous studies have obtained explicit results by restricting utility functions to a few speci"c forms; not surprisingly, the resultant dynamic strategies have exhibited a very limited range of behavior. In contrast, we examine what might be called the inverse problem: given any speci"c dynamic strategy, can we characterize the results of following it through time? More precisely, can we determine whether it is self-"nancing, yields path-independent returns, and is consistent with optimal behavior for some expected utility maximizing investor? We provide necessary and su$cient conditions for a dynamic strategy to satisfy each of these properties.

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