haku: @indexterm Allocation / yhteensä: 247
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| Tekijä: | Campbell, J. Y. Chan, Y. L. Viceira, L. M. |
| Otsikko: | A multivariate model of strategic asset allocation |
| Lehti: | Journal of Financial Economics
2003 : JAN, VOL. 67:1, p. 41-80 |
| Asiasana: | Allocation Assets Portfolio management Strategic planning |
| Kieli: | eng |
| Tiivistelmä: | 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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