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Intertemporal asset allocation: A comparison of methods

✍ Scribed by Jérôme Detemple; René Garcia; Marcel Rindisbacher

Book ID
116614606
Publisher
Elsevier Science
Year
2005
Tongue
English
Weight
309 KB
Volume
29
Category
Article
ISSN
0378-4266

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This paper analyzes the asset allocation problem of an investor who can invest in equity and cash when there is time variation in expected returns on the equity. The solution methodology is multistage stochastic asset allocation problem with decision rules. The uncertainty is modeled using economic