Policy Portfolio Selection and Efficient Rebalancing Strategy

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Other Title
  • 政策ポートフォリオの選択とリバランス
  • セイサク ポートフォリオ ノ センタク ト リバランス

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Description

In this paper two normative decision makings by a standard institutional investor are investigated, policy portfolio planning and efficient rebalance strategy toward the selected plan. We consider costs for portfolio planning as well as transaction costs in rebalance. We also consider the difficulty in knowing the true values of parameters about risky asset returns. Some efficient rules or strategies gotten here can be opposed by cognitive biases. Especially, low confidence for estimated parameter values such as expected returns can make cognitive biases. If a rebalance execution or revising the selected plan is hesitated to on account of the low confidence, a cognitive bias should be suspected.

Journal

  • 経済科学

    経済科学 65 (3-4), 1-6, 2018-03-25

    名古屋大学大学院経済学研究科

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