An empirical analysis of aggregate household portfolios

Journal of Banking and Finance

Volumn 32, Issue 8, 2008, Pages 1583-1597

  Normandin, Michel ^a   St Amour, Pascal ^b  

^a HEC MONTRÉAL   (Canada)

^b UNIVERSITY OF LAUSANNE   (Switzerland)

Author keywords

Dynamic hedging positions; Generalized recursive preferences; Static, Myopic, and Non myopic portfolio allocations; Time varying investment opportunity set

Indexed keywords

EID: 46949088054     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2007.11.010     Document Type: Article

References (11)

1. Campbell J.Y., and Koo H.K. A comparison of numerical and analytical approximate solutions to an inter-temporal consumption choice problem. Journal of Economic Dynamics and Control 21 (1997) 273-295
2. Campbell J.Y., and Viceira L.M. Consumption and portfolio decisions when expected returns are time varying. Quarterly Journal of Economics 114 (1999) 433-495
3. Campbell J.Y., Chan Y.L., and Viceira L.M. A multivariate model of strategic asset allocation. Journal of Financial Economics 67 (2003) 41-80
4. Chen N.-F., Roll R., and Ross S.A. Economic forces and the stock market. Journal of Business 59 (1986) 383-403
5. Epstein L.G., and Zin S.E. Substitution, risk aversion and the temporal behavior of consumption and asset returns: A theoretical framework. Econometrica 57 (1989) 937-969
6. Fama E.F., and French K.R. Common risk factors in the returns on stocks and bonds. Journal of Financial Economics 33 (1993) 3-56
7. Ferson W.R., and Harvey C.R. Conditioning variables and the cross section of stock returns. Journal of Finance 54 (1999) 1325-1360
8. Giovannini, A., Weil, P., 1989. Risk aversion and inter-temporal substitution in the capital asset pricing model. Working Paper 2824, National Bureau of Economic Research.
9. Mehra R., and Prescott E.C. The equity premium: A puzzle. Journal of Monetary Economics 15 (1985) 145-161
10. Normandin M., and St-Amour P. Canadian consumption and portfolio shares. Canadian Journal of Economics 35 (2002) 737-756
11. Weil P. Non-expected utility in macroeconomics. Quarterly Journal of Economics 105 (1990) 29-42