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| Author: | Sorensen, C. |
| Title: | Dynamic asset allocation and fixed income management |
| Journal: | Journal of Financial and Quantitative Analysis
1999 : DEC, VOL. 34:4, p. 513-532 |
| Index terms: | ASSETS ALLOCATION INCOMES |
| Language: | eng |
| Abstract: | This paper provides the solution to an intertemporal investment problem. The investor has power utility and can invest in stocks and bonds in a complete market setting where the Vasicek term structure model applies. The paper demonstrates that the zero-coupon bond with maturity at the investment horizon is the appropriate instrument for hedging changes in the opportunity set. An application based on a quasi-dynamic programming approach is considered. |
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