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.

中文翻译：

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动态投资组合选择的效率：一个实验

我们使用 Dybvig (1988) 和 Post (2003) 的非参数方法研究动态投资组合选择的效率。我们在两种替代环境下将动态投资组合任务与等效的静态 Arrow-Debreu 问题进行比较：(1) 非池化的 $$2^T$$ 终端状态和 (2) 池化的 $$T+1$$ 唯一终端状态。结果表明，在每种环境中，静态格式和最终状态数量较大时的效率较低。在允许路径依赖策略的非池化动态任务中，我们发现一种形式的止损策略会导致效率损失。