Resumo:
How should long-term investors form portfolios in our time-varying, multi-factor and friction-filled world? Two conceptual frameworks may help: first, look directly at the stream of payments that a portfolio and payout policy can produce. Second, include a general equilibrium view of the markets’ economic purpose, and the nature of investors’ different preferences, risk-taking ability, and function in that equilibrium. These perspectives can rationalize some of investors’ behaviors, suggest substantial revisions to standard portfolio theory, and help us to apply portfolio theory in a way that is useful in practice.
John H Cochrane, Portfolios for Long-Term Investors, Review of Finance, Volume 26, Issue 1, February 2022, Pages 1–42, https://doi.org/10.1093/rof/rfab038
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