A Mean-Variance Benchmark for Intertemporal Portfolio Theory

• 成果类型: Article
• 署名作者: Cochrane, John H.
• 署名单位: University of Chicago; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12099
• 发表日期: 2014
• 页码: 1-49
• 关键词: LONG-TERM BONDS; optimal consumption; asset allocation; life-cycle; incomplete markets; Expected returns; NONTRADED ASSETS; cross-section; labor income; CHOICE

摘要

Mean-variance portfolio theory can apply to streams of payoffs such as dividends following an initial investment. This description is useful when returns are not independent over time and investors have nonmarketed income. Investors hedge their outside income streams. Then, their optimal payoff is split between an indexed perpetuitythe risk-free payoffand a long-run mean-variance efficient payoff. 'Long-run' moments sum over time as well as states of nature. In equilibrium, long-run expected returns vary with long-run market betas and outside-income betas. State-variable hedges do not appear.