Risk aversion and allocation to long-term bonds.

DOI10.1016/S0022-0531(03)00062-0zbMath1055.91035OpenAlexW3122673712MaRDI QIDQ1414618

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

Related Items (13)

Understanding dynamic mean variance asset allocation ⋮ Semi-analytical solution for consumption and investment problem under quadratic security market model with inflation risk ⋮ Life-cycle asset allocation with annuity markets ⋮ The costs of suboptimal dynamic asset allocation: general results and applications to interest rate risk, stock volatility risk, and growth/value tilts ⋮ Possibilistic risk aversion in group decisions: theory with application in the insurance of giga-investments valued through the fuzzy pay-off method ⋮ Robust portfolio choice with stochastic interest rates ⋮ The role of longevity bonds in optimal portfolios ⋮ Portfolio selection: a review ⋮ A portfolio-based evaluation of affine term structure models ⋮ GENERAL PROPERTIES OF ISOELASTIC UTILITY ECONOMIES ⋮ PORTFOLIO MANAGEMENT WITH CONSTRAINTS ⋮ The design of equity-indexed annuities ⋮ Portfolio selection with inflation-linked bonds and indexation lags

Cites Work

• Unnamed Item
• A variational problem arising in financial economics
• Optimal consumption and portfolio policies when asset prices follow a diffusion process
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• Stochastic Interest Rates and the Bond-Stock Mix
• Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
• Risk Aversion in the Small and in the Large

This page was built for publication: Risk aversion and allocation to long-term bonds.