메뉴 건너뛰기




Volumn 76, Issue 2, 2003, Pages 263-287

Dynamic Asset Allocation for Stocks, Bonds, and Cash

Author keywords

[No Author keywords available]

Indexed keywords


EID: 0742323901     PISSN: 00219398     EISSN: None     Source Type: Journal    
DOI: 10.1086/367750     Document Type: Article
Times cited : (29)

References (33)
  • 1
    • 0742317182 scopus 로고    scopus 로고
    • Mean-variance asset allocation for long horizons
    • Bajeux-Besnainou, I., and Jordan, J. 2001. Mean-variance asset allocation for long horizons. Finance 22 (December): 7-24.
    • (2001) Finance , vol.22 , Issue.DECEMBER , pp. 7-24
    • Bajeux-Besnainou, I.1    Jordan, J.2
  • 3
    • 0032209023 scopus 로고    scopus 로고
    • Dynamic asset allocation in a mean-variance framework
    • Bajeux-Besnainou, I., and Portait, R. 1998. Dynamic asset allocation in a mean-variance framework. Management Science 44 (November): 79-95.
    • (1998) Management Science , vol.44 , Issue.NOVEMBER , pp. 79-95
    • Bajeux-Besnainou, I.1    Portait, R.2
  • 4
    • 0039179796 scopus 로고    scopus 로고
    • Investing for the long run when returns are predictable
    • Barberis, N. 2000. Investing for the long run when returns are predictable. Journal of Finance 55, no. 1:225-64.
    • (2000) Journal of Finance , vol.55 , Issue.1 , pp. 225-264
    • Barberis, N.1
  • 7
    • 0040348531 scopus 로고    scopus 로고
    • Estimating portfolio and consumption choice: A conditional Euler equations approach
    • Brandt, M. W. 1999. Estimating portfolio and consumption choice: A conditional Euler equations approach. Journal of Finance 54:1609-45.
    • (1999) Journal of Finance , vol.54 , pp. 1609-1645
    • Brandt, M.W.1
  • 8
    • 0043122882 scopus 로고    scopus 로고
    • Stochastic interest rates and the bond-stock mix
    • Brennan, Michael J., and Xia, Yihong. 2000. Stochastic interest rates and the bond-stock mix. European Finance Review 4:197-210.
    • (2000) European Finance Review , vol.4 , pp. 197-210
    • Brennan, M.J.1    Xia, Y.2
  • 9
    • 0001791968 scopus 로고    scopus 로고
    • Who should buy long-term bonds?
    • Campbell, J., and Viceira, L. 2001. Who should buy long-term bonds? American Economic Review 91 (March): 99-127.
    • (2001) American Economic Review , vol.91 , Issue.MARCH , pp. 99-127
    • Campbell, J.1    Viceira, L.2
  • 11
    • 0000904974 scopus 로고
    • The structure of investor preferences and asset returns, and separability in portfolio allocation: A contribution to the pure theory of mutual funds
    • Cass, D., and Stiglitz, J. E. 1970. The structure of investor preferences and asset returns, and separability in portfolio allocation: A contribution to the pure theory of mutual funds. Journal of Economic Theory 2:122-60.
    • (1970) Journal of Economic Theory , vol.2 , pp. 122-160
    • Cass, D.1    Stiglitz, J.E.2
  • 12
    • 0002720622 scopus 로고
    • Optimal consumption and portfolio policies when asset prices follow a diffusion process
    • Cox, J., and Huang, C. F. 1989. Optimal consumption and portfolio policies when asset prices follow a diffusion process. Journal of Economic Theory 49:33-83.
    • (1989) Journal of Economic Theory , vol.49 , pp. 33-83
    • Cox, J.1    Huang, C.F.2
  • 16
    • 0000842941 scopus 로고
    • Substitution, risk aversion, and the temporal behavior of consumption and asset returns: A theoretical framework
    • Epstein, L. G., and Zin, S. E. 1989. Substitution, risk aversion, and the temporal behavior of consumption and asset returns: A theoretical framework. Econometrica 57:937-69.
    • (1989) Econometrica , vol.57 , pp. 937-969
    • Epstein, L.G.1    Zin, S.E.2
  • 17
    • 84935429666 scopus 로고
    • Substitution, risk aversion, and the temporal behavior of consumption and asset returns: An empirical analysis
    • Epstein, L. G., and Zin, S. E. 1991. Substitution, risk aversion, and the temporal behavior of consumption and asset returns: An empirical analysis. Journal of Political Economy 99:263-86.
    • (1991) Journal of Political Economy , vol.99 , pp. 263-286
    • Epstein, L.G.1    Zin, S.E.2
  • 18
    • 0023455980 scopus 로고
    • Optimal portfolio and consumption decisions for a "small investor" on a finite horizon
    • Karatzas, I.; Lehoczky, J.; and Shreve, S. 1987. Optimal portfolio and consumption decisions for a "small investor" on a finite horizon. SIAM Journal of Control and Optimization 25: 1157-86.
    • (1987) SIAM Journal of Control and Optimization , vol.25 , pp. 1157-1186
    • Karatzas, I.1    Lehoczky, J.2    Shreve, S.3
  • 19
    • 0001873357 scopus 로고
    • A multivariate model of the term structure
    • Langetieg, T. C. 1980. A multivariate model of the term structure. Journal of Finance 35:71-97.
    • (1980) Journal of Finance , vol.35 , pp. 71-97
    • Langetieg, T.C.1
  • 22
    • 0011090049 scopus 로고
    • Optimum consumption and portfolio rules in a continuous time model
    • Merton, R. 1971. Optimum consumption and portfolio rules in a continuous time model. Journal of Economic Theory 3:373-413.
    • (1971) Journal of Economic Theory , vol.3 , pp. 373-413
    • Merton, R.1
  • 23
    • 0001738730 scopus 로고
    • An intertemporal capital asset pricing model
    • Merton, R. 1973. An intertemporal capital asset pricing model. Econometrica 41:867-88.
    • (1973) Econometrica , vol.41 , pp. 867-888
    • Merton, R.1
  • 25
    • 0742265006 scopus 로고    scopus 로고
    • Dynamic asset allocation with mean-variance preferences and a solvency constraint
    • Nguyen, P., and Portait, R. 2000. Dynamic asset allocation with mean-variance preferences and a solvency constraint. Journal of Economics Dynamics and Control 26 (January): 11-32.
    • (2000) Journal of Economics Dynamics and Control , vol.26 , Issue.JANUARY , pp. 11-32
    • Nguyen, P.1    Portait, R.2
  • 26
    • 25344458925 scopus 로고    scopus 로고
    • Non-myopic asset-allocation with stochastic interest rates
    • San Diego, Calif.: San Diego State University, Department of Finance
    • Omberg, E. 2001. Non-myopic asset-allocation with stochastic interest rates. Working paper. San Diego, Calif.: San Diego State University, Department of Finance.
    • (2001) Working Paper
    • Omberg, E.1
  • 27
    • 0003103429 scopus 로고
    • A stochastic calculus model of continuous trading: Optimal portfolios
    • Pliska, S. R. 1986. A stochastic calculus model of continuous trading: Optimal portfolios. Mathematics of Operations Research 11:371-84.
    • (1986) Mathematics of Operations Research , vol.11 , pp. 371-384
    • Pliska, S.R.1
  • 28
    • 0033242805 scopus 로고    scopus 로고
    • Self-financing trading strategies for sliding, rolling-horizon, and consol bonds
    • Rutkowski, M. 1999. Self-financing trading strategies for sliding, rolling-horizon, and consol bonds. Mathematical Finance 9, no. 4:361-65.
    • (1999) Mathematical Finance , vol.9 , Issue.4 , pp. 361-365
    • Rutkowski, M.1
  • 29
    • 0000314743 scopus 로고
    • Life time portfolio selection by dynamic stochastic programming
    • Samuelson, P. A. 1969. Life time portfolio selection by dynamic stochastic programming. Review of Economics and Statistics 51 (August): 239-46.
    • (1969) Review of Economics and Statistics , vol.51 , Issue.AUGUST , pp. 239-246
    • Samuelson, P.A.1
  • 30
    • 0002153611 scopus 로고
    • The judgment of economic science on rational portfolio management: Timing and long-horizon effects
    • Samuelson, P. A. 1989. The judgment of economic science on rational portfolio management: Timing and long-horizon effects. Journal of Portfolio Management 16:4-12.
    • (1989) Journal of Portfolio Management , vol.16 , pp. 4-12
    • Samuelson, P.A.1
  • 31
    • 0000849301 scopus 로고
    • Long-run risk tolerance when equity returns are mean regressing: Pseudoparadoxes and vindication of "businessmen's risk"
    • W. C. Brainard, W. D. Nordhaus, and H. W. Watts (eds.). Cambridge, Mass.: MIT Press
    • Samuelson, P. A. 1991. Long-run risk tolerance when equity returns are mean regressing: Pseudoparadoxes and vindication of "businessmen's risk." In W. C. Brainard, W. D. Nordhaus, and H. W. Watts (eds.), Money, Macroeconomics, and Economic Policy. Cambridge, Mass.: MIT Press.
    • (1991) Money, Macroeconomics, and Economic Policy
    • Samuelson, P.A.1
  • 32
    • 0033268705 scopus 로고    scopus 로고
    • Dynamic asset allocation and fixed income management
    • Sorensen, C. 1999. Dynamic asset allocation and fixed income management. Journal of Financial and Quantitative Analysis 34, no. 4:513-31.
    • (1999) Journal of Financial and Quantitative Analysis , vol.34 , Issue.4 , pp. 513-531
    • Sorensen, C.1
  • 33
    • 21044456152 scopus 로고    scopus 로고
    • Risk aversion and allocation to long-term bonds
    • Boston: Harvard Business School, Department of Business Economics
    • Wachter, J. 1999. Risk aversion and allocation to long-term bonds. Working paper. Boston: Harvard Business School, Department of Business Economics.
    • (1999) Working Paper
    • Wachter, J.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.