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Foreign Currency for Long-Term Investors
(Blackwell Publishing, 2003)
Conventional wisdom holds that conservative investors should avoid exposure to foreign currency risk. Even if they hold foreign equities, they should hedge the currency exposure of these positions and hold only domestic ...
A Multivariate Model of Strategic Asset Allocation
(Elsevier, 2003)
We develop an approximate solution method for the optimal consumption and portfolio choice problem of an infinitely long-lived investor with Epstein–Zin utility who faces a set of asset returns described by a vector ...
Strategic Asset Allocation in a Continuous-Time VAR Model
(Elsevier, 2004)
This paper derives an approximate solution to a continuous-time intertemporal portfolio and consumption choice problem. The problem is the continuous-time equivalent of the discrete-time problem studied by Campbell and ...