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| Author: | Lynch, A. W. |
| Title: | Portfolio choice and equity characteristics: characterizing the hedging demands induced by return predictability |
| Journal: | Journal of Financial Economics
2001 : OCT, VOL. 62:1, p. 67-130 |
| Index terms: | HEDGING PORTFOLIO MANAGEMENT RETURN ON INVESTMENT RISK AVERSION STOCK MARKETS |
| Language: | eng |
| Abstract: | This paper examines portfolio allocation across equity portfolios formed on the basis of characteristics like size and book-to-market. In particular, the paper assesses the impact of return predictability on portfolio choice for a multi-period investor with a coefficient of relative risk aversion of 4. |
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