Showing 1 - 5 of 5
"This paper proposes a new tractable approach to solving asset allocation problems in situations with a large number of risky assets which pose problems for standard numerical approaches. Investor preferences are assumed to be defined over moments of the wealth distribution such as its skewness...
Persistent link: https://www.econbiz.de/10002977388
Persistent link: https://www.econbiz.de/10000962419
"This paper studies strategic asset allocation and consumption choice in the presence of regime switching in asset returns. We find evidence that four separate regimes - characterized as crash, slow growth, bull and recovery states - are required to capture the joint distribution of stock and...
Persistent link: https://www.econbiz.de/10002917579
Persistent link: https://www.econbiz.de/10001987130
Persistent link: https://www.econbiz.de/10000939505