2024-03-29T00:41:11Z
https://nagoya.repo.nii.ac.jp/oai
oai:nagoya.repo.nii.ac.jp:00025621
2023-11-13T00:59:14Z
659:853:854:2069
Policy Portfolio Selection and Efficient Rebalancing Strategy
政策ポートフォリオの選択とリバランス
中島, 英喜
75885
NAKASHIMA, Hideki
73822
Policy portfolio
Efficient rebalance
Costs
Low confidence for estimated parameter values
Cognitive bias
2018-03-25
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.
departmental bulletin paper
名古屋大学大学院経済学研究科
2018-03-25
経済科学
3-4
65
1
6
0022-9725
jpn
http://www2.soec.nagoya-u.ac.jp/bulletin/proceedings/#vol65