Munk, Claus; Sørensen, Carsten; Vinther, Tina Nygaard - Copenhagen Business School - 2001
We consider the optimal asset allocation choice of an investor who can invest in <p> cash (a money market bank account), nominal bonds, and stocks (the stock index). <p> The investor faces an incomplete market setting and is not able to perfectly hedge <p> long run real interest rate risk using the...</p></p></p>
