Dynamic asset allocation under mean-reverting returns, stochastic interest rates, and inflation uncertainty: Are popular recommendations consistent with rational behavior?

International Review of Economics and Finance

Volumn 13, Issue 2, 2004, Pages 141-166

  Munk, Claus ^a   Sørensen, Carsten ^b   Nygaard Vinther, Tina ^c  

^a UNIVERSITY OF SOUTHERN DENMARK   (Denmark)

^b Department of International Economics and Management   (Denmark)

^c SimCorp A/S   (Denmark)

Author keywords

Inflation; Intertemporal portfolio choice; Investment puzzles; Mean reversion

Indexed keywords

EID: 1642303012     PISSN: 10590560     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.iref.2003.08.001     Document Type: Article

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