Understanding saving and portfolio choices with predictable changes in assets returns

DOI10.1016/J.JMATECO.2007.10.006MaRDI QIDQ949649zbMATH OpenOpenAlexFDO

Authors Christian Gollier

Publication date 21 October 2008

Published in Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmateco.2007.10.006

zbMATH Keywords

cautiousnessmean reversionprecautionary savingpredictabilitystochastic volatilitystrategic asset allocation

Mathematics Subject Classification ID

Portfolio theory (91G10)

Recommendations

• Consumption and Portfolio Decisions when Expected Returns are Time Varying
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Cites work

• A theory of the term structure of interest rates
• An equilibrium characterization of the term structure
• An exploration of the effects of pessimism and doubt on asset returns.
• Consumption and Portfolio Decisions when Expected Returns are Time Varying
• scientific article; zbMATH DE number 1250597 (Why is no real title available?)
• scientific article; zbMATH DE number 1869272 (Why is no real title available?)
• Optimum consumption and portfolio rules in a continuous-time model
• Strategic asset allocation
• The comparative statics of changes in risk revisited
• The role of risk aversion and intertemporal substitution in dynamic consumption-portfolio choice with recursive utility

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