具有信息处理约束和有限投资期限的动态投资组合选择

IF 2.1 4区经济学 Q2 ECONOMICS

Economics Letters Pub Date : 2025-04-15 DOI:10.1016/j.econlet.2025.112318

Xiaoqing Yin , Haijun Wang

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引用次数: 0

摘要

本文探讨了有限投资期限下信息处理约束对投资者动态投资组合选择的影响。在给定信道容量的情况下，给出了一个封闭的解。研究发现，风险投资组合份额随信息通道容量的增大而增大，并快速收敛于其真实均值。对于内生性信道容量，我们给出了近似解。在较长的投资期限内，由于信息成本的影响，最优渠道容量随时间而减小，风险投资组合份额随时间呈凸形。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Dynamic portfolio choice with information-processing constraints and finite investment horizon

This paper explores how information-processing constraints affect an investor’s dynamic portfolio choice with finite investment horizon. With the given information channel capacity, we give a closed-form solution. We find that the risky portfolio share increases with the information channel capacity and fast converges to its true mean. In the case of endogenous channel capacity, we give an approximate solution. Due to the information cost, the optimal channel capacity decreases with time and the risky portfolio share is convex in time for a long investment horizon.

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来源期刊

Economics Letters ECONOMICS-

CiteScore

3.20

自引率

5.00%

发文量

348

审稿时长

30 days

期刊介绍： Many economists today are concerned by the proliferation of journals and the concomitant labyrinth of research to be conquered in order to reach the specific information they require. To combat this tendency, Economics Letters has been conceived and designed outside the realm of the traditional economics journal. As a Letters Journal, it consists of concise communications (letters) that provide a means of rapid and efficient dissemination of new results, models and methods in all fields of economic research.