| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w8566 |
| 来源ID | Working Paper 8566 |
| A Multivariate Model of Strategic Asset Allocation | |
| John Y. Campbell; Yeung Lewis Chan; Luis M. Viceira | |
| 发表日期 | 2001-10-01 |
| 出版年 | 2001 |
| 语种 | 英语 |
| 摘要 | Much recent work has documented evidence for 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 ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w8566 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/566170 |
| 推荐引用方式 GB/T 7714 | John Y. Campbell,Yeung Lewis Chan,Luis M. Viceira. A Multivariate Model of Strategic Asset Allocation. 2001. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w8566.pdf（868KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
