We study the strategic asset allocation for an international investor. The recent empirical evidence on the partial … predictability of asset returns has renewed theacademic and practical interest in strategic asset allocation. To model time varying … generated by regime-switching models, and theory onasset allocation …

Purpose of this paper: we study the asset allocation problem for a pension fund which maximizes the expected present … is always less risky than the Mertons (1969-1971) one. In particular, the asset allocation is less and less risky until … optimal asset allocation. …