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Strategic asset allocation : portfolio choice for long-term investors

Author: John Y Campbell; Luis M Viceira; Oxford University Press.
Publisher: New York : Oxford University Press, 2002.
Series: Clarendon lectures in economics.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
This volume offers a scientific foundation for the advice offered by financial planners to long-term investors. It gives statistical evidence on asset return behaviour, and, based on assumed investor objectives, derives optimal portfolio rules.
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Genre/Form: Electronic books
Additional Physical Format: Print version:
Campbell, John Y.
Strategic asset allocation.
New York : Oxford University Press, 2002
(DLC) 2001046491
(OCoLC)48241322
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: John Y Campbell; Luis M Viceira; Oxford University Press.
ISBN: 0198296940 9780198296942 9780191596049 0191596043 9780191606915 019160691X
OCLC Number: 63294650
Awards: Winner of Co-winner of the 2002 Paul A. Samuelson Award.
Description: 1 online resource (xii, 257 pages) : illustrations
Contents: 1. Introduction --
2. Myopic portfolio choice --
2.1. Short-term portfolio choice --
2.2. Myopic long-term portfolio choice --
2.3. Conclusion --
3. Who should buy long-term bonds? --
3.1. Long-term portfolio choice in a model with constant variances and risk premia --
3.2. A Model of the term structure of interest rates --
3.3. Conclusion: bonds, James, bonds --
4. Is the Stock Market safer for long-term investors? --
4.1. Long-term portfolio choice in a VAR model --
4.2. Stock and bond market risk in historical US data --
4.3. Conclusion --
5. Strategic asset allocation in continuous time --
5.1. The dynamic programming approach --
5.2. The martingale approach --
5.3. Recursive utility in continuous time --
5.4. Should long-term Investors hedge volatility risk? --
5.5. Parameter uncertainty and portfolio choice --
5.6. Conclusion --
6. Human wealth and financial wealth --
6.1. Single-period models with labor income --
6.2. Labor income, precautionary savings, and long-horizon portfolio choice --
6.3. Conclusion --
7. Investing over the life cycle --
7.1. What do we know about household-asset allocation? --
7.2. A life-cycle model of portfolio choice --
7.3. Conclusion.
Series Title: Clarendon lectures in economics.
Responsibility: John Y. Campbell, Luis M. Viceira.
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Abstract:

This work links cutting-edge academic analysis of portfolio choice to the practical concerns of institutional investors, financial planners, and individual investors. It shows in empirical detail how  Read more...

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In Strategic Asset Allocation John Campbell and Luis Viceira go beyond the usual capital-markets research monographs that survey a broad swath of asset pricing and investment theory. Instead, they Read more...

 
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