Document Type

Working Paper

Publication Date

6-2000

College/Unit

Chambers College of Business and Economics

Document Number

99-04

Department/Program/Center

Economics

Abstract

This paper considers portfolio choice when decisions are made for several future time periods all at once. The risky asset share sequence must be precommitted for the entire decision interval, either constrained (as in Samuelson (1991)) or not constrained (as in Balvers and Mitchell (2000)) to be constant across time periods within the interval. For a broad, plausible class of dynamic returns processes, contrary to Samuelson, under log utility the decisions for the more distant future are more conservative. This class is exemplified by autocorrelated ARMA(p,q) processes and finite-state Markov processes. The source of Samuelson's contrary result is elucidated.

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