메뉴 건너뛰기




Volumn 24, Issue 2, 1998, Pages 57-64

State-dependent asset allocation: Expanding the efficient frontier

Author keywords

[No Author keywords available]

Indexed keywords


EID: 0040681651     PISSN: 00954918     EISSN: None     Source Type: Journal    
DOI: 10.3905/jpm.24.2.57     Document Type: Article
Times cited : (18)

References (16)
  • 1
    • 0001499769 scopus 로고
    • Stock prices, asset portfolios and macroeconomic variables in ten European countries
    • Asprem, Mads. "Stock Prices, Asset Portfolios and Macroeconomic Variables in Ten European Countries." Journal of Banking and Finance, 13 (1989), pp. 590-612.
    • (1989) Journal of Banking and Finance , vol.13 , pp. 590-612
    • Asprem, M.1
  • 2
    • 0344839169 scopus 로고
    • Stock returns and the term structure
    • Campbell, J. "Stock Returns and the Term Structure." Journal of Financial Economics, 18 (1987), pp. 373-399.
    • (1987) Journal of Financial Economics , vol.18 , pp. 373-399
    • Campbell, J.1
  • 3
    • 0000232861 scopus 로고
    • An exploratory investigation of the firm size effect
    • Chan, K., N. Chen, and D. Hsieh. "An Exploratory Investigation of the Firm Size Effect." Journal of Financial Economics, 14 (1985), pp. 451-471.
    • (1985) Journal of Financial Economics , vol.14 , pp. 451-471
    • Chan, K.1    Chen, N.2    Hsieh, D.3
  • 4
    • 84977738382 scopus 로고
    • Financial investment opportunities and the macroeconomy
    • Chen, N. "Financial Investment Opportunities and the Macroeconomy." Journal of Finance, 36 (1991), pp. 529-554.
    • (1991) Journal of Finance , vol.36 , pp. 529-554
    • Chen, N.1
  • 5
    • 0000496978 scopus 로고
    • Economic forces and the stock market
    • Chen, N., R. Roll, and S. Ross. "Economic Forces and the Stock Market." Journal of Business, 59 (1986), pp. 383-403.
    • (1986) Journal of Business , vol.59 , pp. 383-403
    • Chen, N.1    Roll, R.2    Ross, S.3
  • 6
    • 21344484856 scopus 로고
    • Tracking errors, regret and tactical asset allocation
    • Clarke, R., S. Krase, and M. Statman. "Tracking Errors, Regret and Tactical Asset Allocation." Journal of Portfolio Management, 20, 3 (1994), pp. 16-24.
    • (1994) Journal of Portfolio Management , vol.20 , Issue.3 , pp. 16-24
    • Clarke, R.1    Krase, S.2    Statman, M.3
  • 7
    • 0000334217 scopus 로고
    • An intertemporal general equilibrium model of asset prices
    • Cox, J., J. Ingersoll, Jr., and S. Ross. "An Intertemporal General Equilibrium Model of Asset Prices." Econometrica, 53 (1985), pp. 363-384.
    • (1985) Econometrica , vol.53 , pp. 363-384
    • Cox, J.1    Ingersoll J., Jr.2    Ross, S.3
  • 8
    • 3042972701 scopus 로고    scopus 로고
    • Political risk, economic risk and financial risk
    • Erb, C.B., C.R. Harvey, and T.E. Viskanta. "Political Risk, Economic Risk and Financial Risk." Financial Analysts Journal, 52, 6 (1996), pp. 29-45.
    • (1996) Financial Analysts Journal , vol.52 , Issue.6 , pp. 29-45
    • Erb, C.B.1    Harvey, C.R.2    Viskanta, T.E.3
  • 9
    • 0001311205 scopus 로고
    • Multiperiod consumption investment decisions
    • Fama, E. "Multiperiod Consumption Investment Decisions." American Economic Review, 60, (1970), pp. 163-164.
    • (1970) American Economic Review , vol.60 , pp. 163-164
    • Fama, E.1
  • 10
    • 0000064728 scopus 로고
    • The information in long-maturity forward rates
    • Fama, E., and R. Bliss. "The Information in Long-Maturity Forward Rates." American Economic Review, 77 (1987), pp. 680-692.
    • (1987) American Economic Review , vol.77 , pp. 680-692
    • Fama, E.1    Bliss, R.2
  • 11
    • 34250890715 scopus 로고
    • Business conditions and expected stock returns on stocks and bonds
    • Fama, E., and K. French. "Business Conditions and Expected Stock Returns on Stocks and Bonds." Journal of Financial Economics, 25 (1990), pp. 23-49.
    • (1990) Journal of Financial Economics , vol.25 , pp. 23-49
    • Fama, E.1    French, K.2
  • 12
    • 0002056097 scopus 로고
    • Dividend yields and expected stock returns
    • _. "Dividend Yields and Expected Stock Returns." Journal of Financial Economics, 22 (1988a), pp. 3-25.
    • (1988) Journal of Financial Economics , vol.22 , pp. 3-25
  • 13
    • 84936823605 scopus 로고
    • Permanent and temporary components of stock prices
    • _. "Permanent and Temporary Components of Stock Prices." Journal of Political Economy, 96 (1988b), pp. 246-273.
    • (1988) Journal of Political Economy , vol.96 , pp. 246-273
  • 15
    • 46149129689 scopus 로고
    • Predicting returns in the stock and bond markets
    • Keim, D., and R. Stambaugh. "Predicting Returns in the Stock and Bond Markets." Journal of Financial Economics, 17, 2 (1986), pp. 357-390.
    • (1986) Journal of Financial Economics , vol.17 , Issue.2 , pp. 357-390
    • Keim, D.1    Stambaugh, R.2
  • 16
    • 0001738730 scopus 로고
    • An intertemporal asset pricing model
    • Merton, R. "An Intertemporal Asset Pricing Model." Econometrica, 41 (1973), pp. 867-887.
    • (1973) Econometrica , vol.41 , pp. 867-887
    • Merton, R.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.