Stochastic Interest Rates and the Bond-Stock Mix
From MaRDI portal
Publication:2709163
DOI10.1023/A:1009890514371zbMath1073.91585MaRDI QIDQ2709163
Michael J. Brennan, Yihong Xia
Publication date: 14 June 2001
Published in: Review of Finance (Search for Journal in Brave)
91G10: Portfolio theory
Related Items
OPTIMAL INVESTMENT DECISIONS FOR A PORTFOLIO WITH A ROLLING HORIZON BOND AND A DISCOUNT BOND, The costs of suboptimal dynamic asset allocation: general results and applications to interest rate risk, stock volatility risk, and growth/value tilts, Robust portfolio choice with stochastic interest rates, Modeling non-monotone risk aversion using SAHARA utility functions, On the optimal design of insurance contracts with guarantees, A factor allocation approach to optimal bond portfolio, Asset allocation with contagion and explicit bankruptcy procedures, The asset allocation puzzle is still a puzzle, Standardized versus customized portfolio: a compensating variation approach, Risk aversion and allocation to long-term bonds., Affine processes and applications in finance, Risky asset allocation and consumption rule in the presence of background risk and insurance markets, Optimal asset allocation for DC pension plans under inflation, A portfolio-based evaluation of affine term structure models, Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium, Computation of optimal portfolios using simulation-based dimension reduction, Portfolio and consumption choice with stochastic investment opportunities and habit formation in preferences, Life-cycle asset allocation with annuity markets, Optimal portfolio-consumption choice under stochastic inflation with nominal and indexed bonds