Influence of real interest rate volatilities on long-term asset allocation

MaRDI QIDQ3170976zbMATH OpenFDO

Authors Yao Xie, Zhian Liang

Publication date 29 September 2011

zbMATH Keywords

portfolioutility functionlong-term asset allocationreal interest rate volatility

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Recommendations

• A mean/variance approach to long-term fixed-income portfolio allocation
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(3)

• Intertemporal asset allocation when the underlying factors are unobservable
• Optimal asset allocation with fixed-term securities
• Risk aversion and allocation to long-term bonds.

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