A Multivariate Model of Strategic Asset Allocation

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A Multivariate Model of Strategic Asset Allocation

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Title: A Multivariate Model of Strategic Asset Allocation
Author: Chan, Yeung Lewis; Viceira, Luis; Campbell, John

Note: Order does not necessarily reflect citation order of authors.

Citation: Campbell, John Y., Yeung Lewis Chan, and Luis M. Viceira. 2003. A multivariate model of strategic asset allocation. Journal of Financial Economics 67, no. 1: 41-80.
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Research Data: http://hdl.handle.net/1902.1/QBXRSFLBQJ
Abstract: 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 autoregression in returns and state variables. Empirical estimates in long-run annual and post-war quarterly U.S. 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. Long-term inflation-indexed bonds greatly increase the utility of conservative investors.
Published Version: http://dx.doi.org/10.1016/S0304-405X(02)00231-3
Terms of Use: This article is made available under the terms and conditions applicable to Other Posted Material, as set forth at http://nrs.harvard.edu/urn-3:HUL.InstRepos:dash.current.terms-of-use#LAA
Citable link to this page: http://nrs.harvard.edu/urn-3:HUL.InstRepos:3163263
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