Risk aversion and allocation to long-term bonds.
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Publication:1414618
DOI10.1016/S0022-0531(03)00062-0zbMath1055.91035OpenAlexW3122673712MaRDI QIDQ1414618
Publication date: 4 December 2003
Published in: Journal of Economic Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0022-0531(03)00062-0
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Cites Work
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- A variational problem arising in financial economics
- Optimal consumption and portfolio policies when asset prices follow a diffusion process
- Martingales and arbitrage in multiperiod securities markets
- Martingales and stochastic integrals in the theory of continuous trading
- Stochastic Interest Rates and the Bond-Stock Mix
- Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
- Risk Aversion in the Small and in the Large
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