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JFQ volume 11 issue 4 Cover and Front matter
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Announcements
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Announcements
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JFQ volume 11 issue 5 Cover and Front matter
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JFQ volume 11 issue 2 Cover and Front matter
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JFQ volume 11 issue 3 Cover and Front matter
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Solution Properties of Deterministic Auctions
The Journal of Financial and Quantitative Analysis © 1976 University of Washington School of Business Administration
The Derivation of Efficient Sets
"10-130-77"
Nonstationarity and Portfolio Choice
In this paper some effects of nonstationary parameters upon inferences and decisions in portfolio analysis are investigated. A Bayesian inferential model with nonstationary parameters is presented and is applied to the problem of portfolio choice. For this model, nonstationarity 1) implies greater uncertainty about future returns; 2) implies that in forecasting future returns, recent returns should receive more weight than not-so-recent returns; 3) restricts the amount of information that can be obtained about future values of the parameters of interest; 4) shifts investment among risky securities and from risky securities to risk-free securities; and 5) yields optimal portfolios with smaller expected returns than corresponding optimal portfolios in the stationary case.