search query: @author Viceira, L. M. / total: 2
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| Author: | Campbell, J. Y. Chan, Y. L. Viceira, L. M. |
| Title: | A multivariate model of strategic asset allocation |
| Journal: | Journal of Financial Economics
2003 : JAN, VOL. 67:1, p. 41-80 |
| Index terms: | Allocation Assets Portfolio management Strategic planning |
| Language: | eng |
| Abstract: | The authors develop an approximate solution method for the optimal consumption and portfolio choice problem of an infinitely long-lived investor with Epstein-Zin utility who faces a set of asset returns described by a vector autoregression in returns and state variables. Empirical estimates in long-run annual and post-war quarterly U.S. data suggest that the predictability of stock returns greatly increases the optional demand for stocks. |
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