volume 15, issue 3, P573-655 2009
DOI: 10.1017/s1357321700005742
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S. Jarvis, A. Lawrence, S. Miao

Abstract: ABSTRACTInvestment strategy is often static, punctuated by infrequent reviews. For most long-term investors, this practice results in large risks being taken that could otherwise be managed with a more dynamic investment policy. The bulk of this paper is aimed at analysing and describing two multi-period investment strategy problems — in order to derive potential dynamic strategies. Along the way, we show how static investment strategies can fail to deliver an investor's long-term objectives and describe the r…

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