COMPUTATIONALLY CONVENIENT OPTIMAL INTERTEMPORAL PORTFOLIOS UNDER LINEAR CONSTRAINTS

This paper considers the normative question of how to obtain computati onally convenient optimal intertemporal portfolios under assumptions t hat are as realistic as possible. In each period expected utility of f inal-period wealth is maximized, possibly subject to linear inequality constraints. Random net portfolio additions are permitted. Return dis tributions can evolve deterministically. Under certain assumptions the portfolio problem is shown to be computationally straightforward. Int ertemporal properties of the portfolio sequence, including the time pa th of the portfolio fraction held in risky assets collectively, are di scussed.