Search Results - subject:"intertemporal hedging"

Dynamic Portfolio Selection: The Relevance of Switching Regimes and Investment Horizon

Graflund, Andreas; Nilsson, Birger - Nationalekonomiska Institutionen, Ekonomihögskolan - 2002

This paper investigates the questions of dynamic portfolio selection and intertemporal hedging within a Markovian … dependent on the prevailing regime. We present evidence that the question of intertemporal hedging is a more complex issue than … is hinted in the previous literature, since demand for intertemporal hedging is present in some regimes, but not in …

Persistent link: https://www.econbiz.de/10005419363

A Multivariate Model of Strategic Asset Allocation

Campbell, John Y; Chan, Yeung Lewis; Viceira, Luis M - C.E.P.R. Discussion Papers - 2001

Much recent work has documented evidence for the 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...

Persistent link: https://www.econbiz.de/10005124487

An International Dynamic Asset Pricing Model

Hodrick, Robert; Ng, David; Sengmueller, Paul - In: International Tax and Public Finance 6 (1999) 4, pp. 597-620

We examine the ability of a dynamic asset-pricing model to explain the returns on G7-country stock market indices. We extend Campbell's (1996) asset-pricing model to investigate international equity returns. We also utilize and evaluate recent evidence on the predictability of stock returns. We...

Persistent link: https://www.econbiz.de/10005711420