The asset allocation puzzle is still a puzzle

DOI10.1016/j.jedc.2006.01.009zbMath1201.91205OpenAlexW1970875927MaRDI QIDQ1017031

Abraham Lioui

Publication date: 18 May 2009

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2006.01.009

zbMATH Keywords

portfolio theorymarket price of riskasset return predictability

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Semi-analytical solutions for dynamic portfolio choice in jump-diffusion models and the optimal bond-stock mix, The costs of suboptimal dynamic asset allocation: general results and applications to interest rate risk, stock volatility risk, and growth/value tilts, Risky asset allocation and consumption rule in the presence of background risk and insurance markets, Portfolio selection: a review, Macroeconomic environment, money demand and portfolio choice, Computation of optimal portfolios using simulation-based dimension reduction

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