Asset Allocation in a Lower Stock-Bond Correlation Environment

Journal of Portfolio Management

Volumn 30, Issue 1, 2003, Pages

  Dopfel, Frederick E ^a  

^a Federal Service for Surveillance on Consumer Rights Protection and Human Well Being   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0344668880     PISSN: 00954918     EISSN: None     Source Type: Journal    
DOI: 10.3905/jpm.2003.319917     Document Type: Article

References (16)

1. Arnott, Robert D., and Peter L. Bernstein. "The Right Way to Manage Your Pension Fund." Harvard Business Review, January-February 1988.
2. Bernstein, Peter L. "How to Own Bonds and Enjoy It." The Journal of Portfolio Management, Summer 1997.
3. Bodie, Zvi. "The ABO, the PBO and Pension Investment Policy." Financial Analysts Journal, September/October 1990.
4. Dhingra, Gautam. "Asset-Liability Management." In Mark W. Riepe, ed., Pension Investment Handbook, 2nd ed. New York: Aspen Publishers, 2000.
5. Elton, Edwin J., and Martin J. Gruber. Modern Portfolio Theory and Investment Analysis, 5th ed. New York: John Wiley & Sons, Inc., 1995.
6. Grinold, Richard C., and Kenneth F. Kroner. "The Equity Risk Premium." Investment Insights, Barclays Global Investors, San Francisco, July 2002.
7. Jacquier, Eric, and Alan J. Marcus. "Asset Allocation and Market Volatility." Financial Analysts Journal, March/April 2001.
8. Kwan, Simon. "On the Relation between Stocks and Bonds." FRBSF Economic Letter, Federal Reserve Board of San Francisco, June-July 1996.
9. Leibowitz, Martin L. "Liability Returns." The Journal of Portfolio Management, Winter 1987a.
10. _. "Surplus Management." Financial Analysts Journal, March/April 1987b.
11. Li, Lingfeng. "Macroeconomic Factors and the Correlation of Stock and Bond Returns." Working paper, Yale University, November 2002.
12. Michaud, Richard O. Efficient Asset Management. Boston: Harvard Business School Press, 1998.
13. Sharpe, William F., and Lawrence G. Tint. "Liabilities - A New Approach." The Journal of Portfolio Management, Winter 1990.
14. Shiller, Robert, and Andrea Beltratti. "Stock Prices and Bond Yields - Can their Comovements be Explained in Terms of Present Value Models?" Journal of Monetary Economics, 30 (1992).
15. Treynor, J.L., P.J. Regan, and W.W. Priest. The Financial Reality of Pension Funding Under ERISA. Homewood, IL: Dow Jones-Irwin, 1976.
16. Waring, M. Barton. "Asset Allocation and Investment Policy: Beginning and Advanced Topics for the Serious Practitioner." Presented at the 15th Annual Asset Allocation Congress, Institute for International Research, Palm Beach, Florida, March 4, 2001.