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Chan, Yeung Lewis

Overview
Works: 2 works in 28 publications in 1 language and 167 library holdings
Classifications: HB1,
Publication Timeline
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Publications about Yeung Lewis Chan
Publications by Yeung Lewis Chan
Most widely held works by Yeung Lewis Chan
A multivariate model of strategic asset allocation by John Y Campbell( Book )
16 editions published in 2001 in English and held by 89 libraries worldwide
Much recent work has documented evidence for predictability of asset returns. We show how such predictability can affect the portfolio choices of long-lived investors who value wealth not for its own sake but for the consumption their wealth can support. We develop an approximate solution method for the optimal consumption and portfolio choice problem of an infinitely-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 postwar quarterly US 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. We extend the analysis to consider long-term inflation-indexed bonds and find that these bonds greatly increase the utility of conservative investors, who should hold large positions when they are available
Catching up with the Joneses : heterogeneous preferences and the dynamics of asset prices by Yeung Lewis Chan( Book )
12 editions published between 2000 and 2001 in English and held by 78 libraries worldwide
We analyze a general equilibrium exchange economy with a continuum of agents who have 'catching up with the Joneses' preferences and differ only with respect to the curvature of their utility functions. While individual risk aversion does not change over time, dynamic redistribution of wealth among the agents leads to countercyclical time variation in the Sharpe ratio of stock returns. We show that both the conditional risk premium and the return volatility are negatively related to the level of stock prices, as observed empirically. Therefore, our model exhibits many of the empirically observed properties of aggregate stock returns, e.g., patterns of autocorrelation in returns, the 'leverage effect' in return volatility and long-horizon return predictability. For comparison, otherwise similar representative agent economies with the same type of preferences exhibit counter-factual behavior, e.g., a constant Sharpe ratio of returns and procyclical risk premium and return volatility
 
Languages
English (28)
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