A Multivariate Model Of Strategic Asset Allocation

Topics:
Decision Analysis
Tags:
Asset,
Asset Allocation,
Asset Management,
Business Operations,
Operational Planning,
Predictability,
University Of Rochester
Source:
University of Rochester

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Overview: From the executive summary: ‘Much recent work has documented evidence for predictability of asset returns. The paper shows how such predictability can affect the portfolio choices of long-lived investors who value wealth not for their own sake but for the consumption their wealth can support. An approximate solution method for the optimal consumption and portfolio choice problem of an infinitely-lived investor is also developed.’

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Format: PDF | Size: 444KB | Date: Feb 2002 | Pages: 55

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