✦ LIBER ✦
A Note on Finding the Optimal Allocation Between a Risky Stock and a Risky Bond
✍ Scribed by John E. Angus
- Publisher
- John Wiley and Sons
- Year
- 2001
- Tongue
- English
- Weight
- 128 KB
- Volume
- 21
- Category
- Article
- ISSN
- 0270-7314
- DOI
- 10.1002/fut.2204
No coin nor oath required. For personal study only.
✦ Synopsis
Abstract
The allocation of financial assets among securities with different levels of risk is an essential topic in
the study, analysis, and strategic use of derivative securities and markets. In a recent paper, Browne
(1999) determined the optimal allocation strategy for dividing investments between a risky stock and a
risky bond. In this note, Browne's equation determining the optimal strategy is studied and some methods
are described for solving it. In addition, some useful rules‐of‐thumb, computational methods, and
approximation techniques are presented. © 2001 John Wiley & Sons, Inc. Jrl Fut Mark 21:1181–1196,
2001