Portfolio selection in stochastic environments

Review of Financial Studies

Volumn 20, Issue 1, 2007, Pages 1-39

  Liu, Jun ^a,b  

^a UNIVERSITY OF CALIFORNIA   (United States)

^b UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 33845684708     PISSN: 08939454     EISSN: 14657368     Source Type: Journal    
DOI: 10.1093/rfs/hhl001     Document Type: Article

References (37)

1. Bates, D. S., 2000, "Post-'87 Crash Fears in S&P 500 Futures Options," Journal of Econometrics, 94, 181-238.
2. Brennan, M. J., 1998, "The Role of Learning in Dynamic Portfolio Decisions?" European Finance Review, 1, 295-306.
3. Brennan, M. J., E. S. Schwartz, and R. Lagnado, 1997, "Strategic Asset Allocation," Journal of Economic Dynamics and Control, 21, 1377-1403.
4. Brennan, M. J., and Y. Xia, 2000, "Stochastic Interest Rates and Bond-Stock Mix," European Finance Review, 4, 197-210.
5. Brennan, M. J., and Y. Xia, 2001, "Assessing Asset Pricing Anomalies," Review of Financial Studies, 14, 905-942.
6. Brennan, M. J., and Y. Xia, 2002a, "Dynamic Asset Allocation under Inflation," Journal of Finance, 57, 1201-1238.
7. Brennan, M. J., and Y. Xia, 2002b, "Optimal Investment Policies: Fixed Mix and Dynamic Stochastic Control Models," working paper, UCLA.
8. Campbell, J. Y., Cochrane, J. H., 1999, "By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior," Journal of Political Economy, 107, 205-251.
9. Campbell, J. Y., and L. M. Viceira, 2001, "Who Should Buy Long-Term Bonds?" The American Economic Review, 91, 99-127.
10. Canner, N., N. G. Mankiw, and D. N. Weil, 1997, "An Asset Allocation Puzzle," The American Economic Review, 87, 181-191.
11. Chacko, G., and L. M. Viceira, 2005, "Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets," Review of Financial Studies, 18, 1369-1402.
12. Cochrane, J. H., and J. Saá-Requejo, 2001, "Beyond Arbitrage: 'Good-Deal' Asset Price Bounds in Incomplete Markets," Journal of Political Economy, 108, 79-119.
13. Collin-Dufresne, P., and R. Goldstein, 2003, "Generalizing the Affine Framework to HJM and Random Field Models," working paper, Univeristy of California.
14. Constantinides, G. M., 1992, "A Theory of the Nominal Term Structure of Interest Rates," Review of Financial Studies, 5, 531-552.
15. Cox, J. C., J. E. Ingersoll, and S. A. Ross, 1985, "A Theory of the Term Structure of Interest Rates," Econometrica, 53, 385-407.
16. Duffie, D., and R. Kan, 1996, "A Yield-Factor Model of Interest Rates," Mathematical Finance, 6, 379-406.
17. Fama, E. F., and G. W. Schwert, 1977, "Asset Returns and Inflation," Journal of Financial Economics, 5, 115-146.
18. Ferson, W. E., and C. R. Harvey, 1993, "The Risk and Predictability of International Equity Returns," Review of Financial Studies, 6, 527-566.
19. French, K. R., G. W. Schwert, and R. F. Stambaugh, 1987, "Expected Stock Returns and Volatility," Journal of Financial Economics, 19, 3-29.
20. Glosten, L. R., R. Jagannathan, and D. E. Runkle, 1993, "On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks," Journal of Finance, 48, 1779-1801.
21. Harvey, C. R., 1989, "Time-Varying Conditional Covariances in Tests of Asset Pricing Models," Journal of Financial Economics, 24, 289-317.
22. Heston, S. L., 1993, "A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options," Review of Financial Studies, 6, 327-343.
23. Kargin, V., 2003, "Portfolio Management for a Random Field of Bond Returns," working paper, Cornerston Research.
24. Kim, T. S., and E. Omberg, 1996, "Dynamic Nonmyopic Portfolio Behavior," Review of Financial Studies, 9, 141-161.
25. Kogan, L., and R. Uppal, 2000, "Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies," working paper, UBC Commerce.
26. Mamaysky, H., 2002, "Market Prices of Risk and Return Predictability in a Joint Stock-Bond Pricing Model," working paper, Yale School of Management.
27. Merton, R. C., 1969, "Lifetime Portfolio Selection: The Continuous-Time Case," Review of Economics and Statistics, 51, 247-257.
28. Merton, R. C., 1971, "Optimum Consumption and Portfolio Rules in a Continuous-Time Model," Journal of Economic Theory, 3, 373-413.
29. Pagan, A. R., and G. W. Schwert, 1990, "Alternative Models for Conditional Stock Volatility," Journal of Econometrics, 45, 267-290.
30. Pan, J., 2002, "The Jump-Risk Premia Implicit in Options: Evidence from an Integrated Time-Series Study," Journal of Financial Economics, 63, 3-50.
31. Sangvinatsos, A., and J. Wachter, 2005, "Does the Failure of the Expectations Hypothesis Matter for Long-Term Investors?" Journal of Finance, 60, 179-230.
32. Schroder, M., and C. Skiadas, 1999, "Optimal Consumption and Portfolio Selection with Stochastic Differential Utility," Journal of Economic Theory, 89, 68-126.
33. Schroder, M., and C. Skiadas, 2003, "Optimal Lifetime Consumption-Portfolio Strategies under Trading Constraints and Generalized Recursive Preferences," Stochastic Processes and their Applications, 108, 155-202.
34. Schroder, M., and C. Skiadas, 2005, "Lifetime Consumption-Portfolio Choice under Trading Constraints, Recursive Preferences, and Nontradeable Income," Stochastic Processes and their Applications, 115, 130.
35. Scruggs, J. T., 1998, "Resolving the Puzzling Intertemporal Relation between the Market; Risk Premium and Conditional Market Variance: A Two-Factor Approach," Journal of Finance, 53, 575-603.
36. Tehranchi, M., and N. Ringer, 2004, "Optimal Portfolio Choice in the Bond Market," working paper, University of Texas.
37. Wachter, J., 2003, "Risk Aversion and Allocation to Long Term Bonds," Journal of Economic Theory, 112, 325-333.