| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP3058 |
| DP3058 An Investment-Growth Asset Pricing Model | |
| Maria Vassalou; Qing Li; Yuhang Xing | |
| 发表日期 | 2001-11-11 |
| 出版年 | 2001 |
| 语种 | 英语 |
| 摘要 | Much recent work has documented evidence for the predictability of asset returns. We show how such predictability can affect the portfolio choices of long-lived investors who value wealth not for its own sake but for the consumption their wealth can support. We develop an approximate solution method for the optimal consumption and portfolio choice problem of an infinitely-lived investor with Epstein-Zin utility who faces a set of asset returns described by a vector autoregression in returns and state variables. Empirical estimates in long-run annual and postwar quarterly US data suggest that the predictability of stock returns greatly increases the optimal demand for stocks. The role of nominal bonds in long-term portfolios depends on the importance of real interest rate risk relative to other sources of risk. We extend the analysis to consider long-term inflation-indexed bonds and find that these bonds greatly increase the utility of conservative investors, who should hold large positions when they are available. |
| 主题 | Financial Economics |
| 关键词 | Intertemporal hedging demand Portfolio choice Predictability Strategic asset allocation |
| URL | https://cepr.org/publications/dp3058 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/532090 |
| 推荐引用方式 GB/T 7714 | Maria Vassalou,Qing Li,Yuhang Xing. DP3058 An Investment-Growth Asset Pricing Model. 2001. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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