Risk aversion and allocation to long-term bonds.

DOI10.1016/S0022-0531(03)00062-0MaRDI QIDQ1414618zbMATH OpenOpenAlexFDO

Authors Jessica A. Wachter

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

zbMATH Keywords

Portfolio choiceState-price density

Mathematics Subject Classification ID

Recommendations

• Long-run risk-return trade-offs
• Risk and asset allocation.
• Risk and asset allocation.
• Increasing risk aversion and life-cycle investing
• Long horizons, high risk aversion, and endogenous spreads
• Stocks, bonds, and the investment horizon. Decision-making for the long run
• Risk attitudes and risk dominance in the long run
• The role of longevity bonds in optimal portfolios
• Influence of real interest rate volatilities on long-term asset allocation
• Portfolios and risk premia for the long run

Cites work

• A variational problem arising in financial economics
• scientific article; zbMATH DE number 3238721 (Why is no real title available?)
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• Optimal consumption and portfolio policies when asset prices follow a diffusion process
• Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
• Risk Aversion in the Small and in the Large
• Stochastic Interest Rates and the Bond-Stock Mix

Cited in

(19)

• The asset allocation puzzle is still a puzzle
• Possibilistic risk aversion in group decisions: theory with application in the insurance of giga-investments valued through the fuzzy pay-off method
• Stocks for the log-run and constant relative risk aversion preferences
• Macroeconomic environment, money demand and portfolio choice
• Semi-analytical solution for consumption and investment problem under quadratic security market model with inflation risk
• Portfolio selection: a review
• Portfolio selection with inflation-linked bonds and indexation lags
• A portfolio-based evaluation of affine term structure models
• The design of equity-indexed annuities
• Life-cycle asset allocation with annuity markets
• Influence of real interest rate volatilities on long-term asset allocation
• Understanding dynamic mean variance asset allocation
• 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
• General properties of isoelastic utility economies
• PORTFOLIO MANAGEMENT WITH CONSTRAINTS
• Do preferred habitat investors exist? Evidence from the UK government bond market
• Strategic international asset allocation under a quadratic model with exchange rate and inflation-deflation risks
• The role of longevity bonds in optimal portfolios

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