We examine the effect of low interest rates on bond portfolio and market allocations by all institutional investors and households across all bond types in Germany at the security-level for 2005-2016. We find that―in contrast to banks―non-banks tilt bond portfolios significantly towards...

We develop an analytical solution to the dynamic portfolio choice problem of an investor with power utility defined over wealth at a finite horizon who faces an investment opportunity set with time-varying risk premia, real interest rates and inflation. The variation in investment opportunities...

We develop an analytical solution to the dynamic portfolio choice problem of an investor with power utility defined over wealth at a finite horizon who faces an investment opportunity set with time-varying risk premia, real interest rates and inflation. The variation in investment opportunities...