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Article
Efficiency of Dynamic Portfolio Choices : An Experiment
in Review of Financial Studies, 35 (3)
Voir la revue «Review of Financial Studies»
We study the efficiency of dynamic portfolio choices using the nonparametric methods of Dybvig (1988) Post (2003). We compare a dynamic portfolio task against an equivalent static Arrow-Debreu problem under two alternative environments: (1) nonpooled with 2 T terminal states and (2) pooled with T +1 unique terminal states. The results suggest that, within each environment, efficiency is lower in a static format and when the number of final states is larger. In the nonpooled dynamic task, which
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allows for path dependent strategies, we find that a form of stop-loss strategy drives efficiency losses.
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