Strategic Asset Allocation: Portfolio Choice for Long-Term Investors
Campbell, John YAuthor
Viceira, Luis MContributor
New York ; Oxford : Oxford University Press,
2002.
This volume offers a scientific foundation for the advice offered by financial planners to long-term investors. It gives statistical evidence on asset return behaviour, and, based on assumed investor objectives, derives optimal portfolio rules.
Bibliographic Level Mode of Issuance: Monograph
This volume offers a scientific foundation for the advice offered by financial planners to long-term investors. It gives statistical evidence on asset return behaviour, and, based on assumed investor objectives, derives optimal portfolio rules.
Description based on print version record.
Includes bibliographical references and index.
Machine generated contents note: 1. Introduction -- 2. Myopic Portfolio Choice -- 2.1. Short-Term Portfolio Choice -- 2.2. Myopic Long-Term Portfolio Choice -- 2.3. Conclusion -- 3. Who Should Buy Long-Term Bonds? -- 3.1. Long-Term Portfolio Choice in a Model -- with Constant Variances and Risk Premia -- 3.2. A Model of the Term Structure of Interest Rates -- 3.3. Conclusion: Bonds, James, Bonds -- 4. Is the Stock Market Safer for Long-Term Investors? -- 4.1. Long-Term Portfolio Choice in a VAR Model -- 4.2. Stock and Bond Market Risk in -- Historical US Data -- 4.3. Conclusion -- 5. Strategic Asset Allocation in Continuous Time -- 5.1. The Dynamic Programming Approach -- 5.2. The Martingale Approach -- 5.3. Recursive Utility in Continuous Time -- 5.4. Should Long-Term Investors Hedge Volatility Risk? -- 5.5. Parameter Uncertainty and Portfolio Choice -- 5.6. Conclusion -- 6. Human Wealth and Financial Wealth -- 6.1. Single-Period Models with Labor Income -- 6.2. Labor Income, Precautionary Savings, and -- Long-Horizon Portfolio Choice -- 6.3. Conclusion -- 7. Investing over the Life Cycle -- 7.1. What Do We Know about Household -- Asset Allocation? -- 7.2. A Life-Cycle Model of Portfolio Choice -- 7.3. Conclusion.
Finance
Business & Economics
Investment & Speculation