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The asset allocation puzzle is still a puzzle

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  • Lioui, Abraham

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  • Lioui, Abraham, 2007. "The asset allocation puzzle is still a puzzle," Journal of Economic Dynamics and Control, Elsevier, vol. 31(4), pages 1185-1216, April.
    • Handle: RePEc:eee:dyncon:v:31:y:2007:i:4:p:1185-1216
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    1. Munk, Claus & Sorensen, Carsten, 2004. "Optimal consumption and investment strategies with stochastic interest rates," Journal of Banking & Finance, Elsevier, vol. 28(8), pages 1987-2013, August.
    2. Rong Fan & Anurag Gupta & Peter Ritchken, 2003. "Hedging in the Possible Presence of Unspanned Stochastic Volatility: Evidence from Swaption Markets," Journal of Finance, American Finance Association, vol. 58(5), pages 2219-2248, October.
    3. Jérôme B. Detemple & Ren Garcia & Marcel Rindisbacher, 2003. "A Monte Carlo Method for Optimal Portfolios," Journal of Finance, American Finance Association, vol. 58(1), pages 401-446, February.
    4. Isabelle Bajeux-Besnainou & James V. Jordan & Roland Portait, 2001. "An Asset Allocation Puzzle: Comment," American Economic Review, American Economic Association, vol. 91(4), pages 1170-1179, September.
    5. Canner, Niko & Mankiw, N Gregory & Weil, David N, 1997. "An Asset Allocation Puzzle," American Economic Review, American Economic Association, vol. 87(1), pages 181-191, March.
    6. Pierre Collin‐Dufresne & Robert S. Goldstein, 2002. "Do Bonds Span the Fixed Income Markets? Theory and Evidence for Unspanned Stochastic Volatility," Journal of Finance, American Finance Association, vol. 57(4), pages 1685-1730, August.
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    8. Antonio Mele, 2003. "Fundamental Properties of Bond Prices in Models of the Short-Term Rate," The Review of Financial Studies, Society for Financial Studies, vol. 16(3), pages 679-716, July.
    9. Antonios Sangvinatsos & Jessica A. Wachter, 2005. "Does the Failure of the Expectations Hypothesis Matter for Long‐Term Investors?," Journal of Finance, American Finance Association, vol. 60(1), pages 179-230, February.
    10. Lioui, Abraham & Poncet, Patrice, 2001. "On optimal portfolio choice under stochastic interest rates," Journal of Economic Dynamics and Control, Elsevier, vol. 25(11), pages 1841-1865, November.
    11. Merton, Robert C, 1973. "An Intertemporal Capital Asset Pricing Model," Econometrica, Econometric Society, vol. 41(5), pages 867-887, September.
    12. Haim Shalit & Shlomo Yitzhaki, 2003. "An Asset Allocation Puzzle: Comment," American Economic Review, American Economic Association, vol. 93(3), pages 1002-1008, June.
    13. Isabelle Bajeux-Besnainou & James V. Jordan & Roland Portait, 2003. "Dynamic Asset Allocation for Stocks, Bonds, and Cash," The Journal of Business, University of Chicago Press, vol. 76(2), pages 263-288, April.
    14. Sørensen, Carsten, 1999. "Dynamic Asset Allocation and Fixed Income Management," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 34(4), pages 513-531, December.
    15. Wachter, Jessica A., 2002. "Portfolio and Consumption Decisions under Mean-Reverting Returns: An Exact Solution for Complete Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 37(1), pages 63-91, March.
    16. Michael J. Brennan & Yihong Xia, 2000. "Stochastic Interest Rates and the Bond-Stock Mix," Review of Finance, European Finance Association, vol. 4(2), pages 197-210.
    17. Stanley R. Pliska, 1986. "A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios," Mathematics of Operations Research, INFORMS, vol. 11(2), pages 371-382, May.
    18. Kim, Tong Suk & Omberg, Edward, 1996. "Dynamic Nonmyopic Portfolio Behavior," The Review of Financial Studies, Society for Financial Studies, vol. 9(1), pages 141-161.
    19. Cox, John C. & Huang, Chi-fu, 1989. "Optimal consumption and portfolio policies when asset prices follow a diffusion process," Journal of Economic Theory, Elsevier, vol. 49(1), pages 33-83, October.
    20. Cvitanic, Jaksa & Goukasian, Levon & Zapatero, Fernando, 2003. "Monte Carlo computation of optimal portfolios in complete markets," Journal of Economic Dynamics and Control, Elsevier, vol. 27(6), pages 971-986, April.
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    Cited by:

    1. Hong, Yi & Jin, Xing, 2018. "Semi-analytical solutions for dynamic portfolio choice in jump-diffusion models and the optimal bond-stock mix," European Journal of Operational Research, Elsevier, vol. 265(1), pages 389-398.
    2. Jérôme Detemple, 2014. "Portfolio Selection: A Review," Journal of Optimization Theory and Applications, Springer, vol. 161(1), pages 1-21, April.
    3. Lin, Wen-chang & Lu, Jin-ray, 2012. "Risky asset allocation and consumption rule in the presence of background risk and insurance markets," Insurance: Mathematics and Economics, Elsevier, vol. 50(1), pages 150-158.
    4. Larsen, Linda Sandris & Munk, Claus, 2012. "The costs of suboptimal dynamic asset allocation: General results and applications to interest rate risk, stock volatility risk, and growth/value tilts," Journal of Economic Dynamics and Control, Elsevier, vol. 36(2), pages 266-293.
    5. Leirvik, Thomas, 2014. "The bond–stock mix under time-varying interest rates and predictable stock returns," Finance Research Letters, Elsevier, vol. 11(3), pages 231-237.
    6. Lioui, Abraham & Tarelli, Andrea, 2019. "Macroeconomic environment, money demand and portfolio choice," European Journal of Operational Research, Elsevier, vol. 274(1), pages 357-374.
    7. Boyle, Phelim & Imai, Junichi & Tan, Ken Seng, 2008. "Computation of optimal portfolios using simulation-based dimension reduction," Insurance: Mathematics and Economics, Elsevier, vol. 43(3), pages 327-338, December.
    8. Hübner, Georges & Lejeune, Thomas, 2021. "Mental accounts with horizon and asymmetry preferences," Economic Modelling, Elsevier, vol. 103(C).

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