A multivariate model of strategic asset allocation

• 成果类型: Article
• 署名作者: Campbell, JY; Chan, YL; Viceira, LM
• 署名单位: Harvard University; Hong Kong University of Science & Technology; Harvard University; National Bureau of Economic Research; Centre for Economic Policy Research - UK
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(02)00231-3
• 发表日期: 2003
• 页码: 41-80
• 关键词: intertemporal hedging demand; portfolio choice; predictability; Strategic asset allocation

摘要

We develop an approximate solution method for the optimal consumption and portfolio choice problem of an infinitely long-lived investor with Epstein-Zin utility who faces a set of asset returns described by a vector autoregression in returns and state variables. Empirical estimates in long-run annual and post-war quarterly U.S. data suggest that the predictability of stock returns greatly increases the optimal demand for stocks. The role of nominal bonds in long-term portfolios depends on the importance of real interest rate risk relative to other sources of risk. Long-term intlation-indexed bonds greatly increase the utility of conservative investors. (C) 2002 Elsevier Science B.V. All rights reserved.