Understanding saving and portfolio choices with predictable changes in assets returns

DOI10.1016/J.JMATECO.2007.10.006zbMath1154.91444OpenAlexW2054538484MaRDI QIDQ949649

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

stochastic volatilityprecautionary savingmean reversionpredictabilitystrategic asset allocationcautiousness

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

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• Optimum consumption and portfolio rules in a continuous-time model
• The role of risk aversion and intertemporal substitution in dynamic consumption-portfolio choice with recursive utility
• Strategic asset allocation
• An exploration of the effects of pessimism and doubt on asset returns.
• The comparative statics of changes in risk revisited
• A Theory of the Term Structure of Interest Rates
• Consumption and Portfolio Decisions when Expected Returns are Time Varying
• An equilibrium characterization of the term structure

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