Risk aversion and allocation to long-term bonds.
type: Item
instance of: scholarly article
title: Risk aversion and allocation to long-term bonds.
zbMATH Open document ID: 1055.91035
DOI: 10.1016/S0022-0531(03)00062-0
author: Jessica A. Wachter
published in: Journal of Economic Theory
publication date: 2003-12-04T00:00:00Z
Mathematics Subject Classification ID: 91B28
Mathematics Subject Classification ID: 91B30
zbMATH DE Number: 2012980
zbMATH Keywords: Portfolio choice
zbMATH Keywords: State-price density
MaRDI profile type: Publication
cites work: Stochastic Interest Rates and the Bond-Stock Mix
cites work: A variational problem arising in financial economics
cites work: Optimal consumption and portfolio policies when asset prices follow a diffusion process
cites work: Martingales and arbitrage in multiperiod securities markets
cites work: Martingales and stochastic integrals in the theory of continuous trading
cites work: Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
cites work: Risk Aversion in the Small and in the Large
cites work: Q5526189
full work available at URL: s0022-0531(03)00062-0
OpenAlex ID: W3122673712
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description: scientific article; zbMATH DE number 2012980