Guidolin, Massimo; Timmerman, Allan - Federal Reserve Bank of St. Louis - 2005
considerable interest in �nance since the seminal papers by
Merton (1969) and Samuelson (1969). Examples of recent studies include … methods to US stock returns while
Section 6 studies the effect of portfolio rebalancing and Section 7 concludes. An Appendix … compared to those in the existing literature. Most studies on optimal asset
allocation use power utility so our benchmark is
U …