Efficiency of Dynamic Portfolio Choices: An Experiment
用非参数方法比较动态投资组合任务与静态Arrow-Debreu问题的效率，发现静态格式和更多终端状态会降低效率，而路径依赖的止损策略是效率损失的原因。
Abstract We study the efficiency of dynamic portfolio choices using the nonparametric methods of Dybvig (1988) and Post (2003). We compare a dynamic portfolio task against an equivalent static Arrow-Debreu problem under two alternative environments: (1) nonpooled with $2^T$ terminal states and (2) pooled with $T+1$ unique terminal states. The results suggest that, within each environment, efficiency is lower in a static format and when the number of final states is larger. In the nonpooled dynamic task, which allows for path dependent strategies, we find that a form of stop-loss strategy drives efficiency losses.