Search Results - subject:"Intertemporal hedging"

Time consistent vs. time inconsistent dynamic asset allocation: Some utility cost calculations for mean variance preferences

Lioui, Abraham - In: Journal of Economic Dynamics and Control 37 (2013) 5, pp. 1066-1096

, we explore an original aspect of the time consistent mean variance strategy: the presence of intertemporal hedging in … intertemporal hedging component. The second component of the time consistent strategy is the traditional myopic component discounted …

Persistent link: https://www.econbiz.de/10010636439

Optimal portfolio strategy with discounted stochastic cash inflows

Nkeki, Charles I. - In: Journal of mathematical finance 3 (2013) 1, pp. 130-137

Persistent link: https://www.econbiz.de/10010240812

Time consistent vs. time inconsistent dynamic asset allocation : some utility cost calculations for mean variance preferences

Lioui, Abraham - In: Journal of economic dynamics & control 37 (2013) 5, pp. 1066-1096

Persistent link: https://www.econbiz.de/10009738267

Investing in a real world with mean-reverting inflation.

Kouwenberg, Roy; Berkelaar, Berkelaar, A.B. - Faculteit der Economische Wetenschappen, Erasmus … - 2003

People are concerned about maintaining purchasing power in times of rising inflation. We formulate investment objectives in terms of real wealth, assuming investors derive utility from the number of goods they can buy with their monetary wealth. We derive closed-form solutions for the portfolio...

Persistent link: https://www.econbiz.de/10010731752

Investing in a real world with mean-reverting inflation.

Berkelaar, A.B.; Kouwenberg, R.R.P. - Erasmus University Rotterdam, Econometric Institute - 2003

Persistent link: https://www.econbiz.de/10008494040

Intertemporal portfolio allocation and hedging demand: An application to South Africa

Vries, Esti van Wyk de; Gupta, Rangan; Eyden, Renee van - Department of Economics, Faculty of Economic and … - 2011

This paper analyses the intertemporal hedging demand for stocks and bonds in South Africa (SA), the United Kingdom (UK … hedging demands for stocks are considerably smaller in SA than in the UK or the US, whilst the mean intertemporal hedging … described by a first-order vector autoregression in returns and state variables. The results show that the mean intertemporal …

Persistent link: https://www.econbiz.de/10009369164

Optimal Value and Growth Tilts in Long-Horizon Portfolios

Jurek, Jakub W; Viceira, Luis M - C.E.P.R. Discussion Papers - 2006

Persistent link: https://www.econbiz.de/10005662129

Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets

Chacko, George; Viceira, Luis M - C.E.P.R. Discussion Papers - 2005

substitution of consumption, and approximate otherwise. The optimal portfolio demand for stocks includes an intertemporal hedging … stock return volatility does not appear to be variable and persistent enough to generate large intertemporal hedging demands. …

Persistent link: https://www.econbiz.de/10005661568

Strategic Asset Allocation in a Continuous Time VAR Model

Campbell, John Y; Chacko, George; Rodriguez, Jorge; … - C.E.P.R. Discussion Papers - 2003

-term investors have a large positive intertemporal hedging demand for stocks. …

Persistent link: https://www.econbiz.de/10005662354

Foreign Currency for Long-Term Investors

Campbell, John Y; Viceira, Luis M; White, Josh S. - C.E.P.R. Discussion Papers - 2002

Conventional wisdom holds that conservative investors should avoid exposure to foreign currency risk. Even if they hold foreign equities, they should hedge the currency exposure of these positions and should hold only domestic Treasury bills. This Paper argues that the conventional wisdom may be...

Persistent link: https://www.econbiz.de/10005124354