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

zbMATH Open1240.91158MaRDI QIDQ3170976FDOQ3170976

Authors: Yao Xie, Zhian Liang 

Publication date: 29 September 2011

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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)

Cited In (2)

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

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