M.J. Brennan. The role of learning in dynamic portfolio decisions. European Economic Review, 1:295-306, 1998. Home/Search Document Details and Download
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Option Prices with Uncertain Fundamentals - Theory And Evidence (1999) (Correct)
....and Gennotte (1986) used the results of the Kalman filter to characterize the learning of agents when the unobservable drift of returns followed a diffusion process. This learning paradigm is a useful for understanding several aspects of financial decision making as evident from the recent work of Brennan (1998), who resolves an important assetallocation puzzle by appealing to the role of learning about expected returns. Despite its several advantages, Kalman filtering models imply that the estimation error (the variance of the conditional distribution of agents beliefs) follows a deterministic process ....
Brennan, Michael J., "The Role of Learning in Dynamic Portfolio Decisions," European Finance Review, 1998.
Investing for the Long Run when Returns are Predictable - Barberis (1999) (11 citations) (Correct)
....VAR model of Sections III and IV. 21 Suppose then that continuously compounded excess stock index returns r t are described by equation #11#. The continuously compounded real monthly T Bill return r f , is set equal to 0.0036 as usual. The numbers in Table I suggest that the main source 21 Brennan #1997# also studies learning and portfolio choice in a similar context to ours, although he uses a methodology quite di#erent from the discrete time backward induction we employ here. He works in continuous time and obtains optimal portfolios by applying optimal #ltering theory and then solving a ....
....who ignores the uncertaintyin#, taking its value to be #xed at 0.0065, the posterior mean from Table I. In this case, we know from the theoretical work of Samuelson #1969# that the optimal allocation does not depend on the investor s horizon. The striking result in Figure 6, also obtained by Brennan #1997#, is that the investor who acknowledges the uncertainty in # will allocate less to stocks at longer horizons. This appears very similar to the buy and hold results in the two lower graphs from Figure 1, which are based on the same sample period. However, the e#ect driving them is very di#erent. ....
Brennan, Michael, 1997, The role of learning in dynamic portfolio decisions, Working Paper 3-97, Anderson School of Management.
Stochastic Programming Models for Asset Liability Management - Kouwenberg, Zenios (2001) (1 citation) (Correct)
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M.J. Brennan. The role of learning in dynamic portfolio decisions. European Economic Review, 1:295-306, 1998.
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