Kim, Tong Suk; Omberg, Edward - In: Review of Financial Studies 9 (1996) 1, pp. 141-61
The dynamic nonmyopic portfolio behavior of an investor who trades a risk-free and risky asset is derived for all HARA utility functions and a stochastic risk premium. Conditions are found for when the investor holds more or less than the myopic amount of the risky asset; hedges against or...