Search Results - subject:"intertemporal hedging demand"

Stocks for the long run? Evidence from emerging markets

Spierdijk, Laura; Umar, Zaghum - In: Journal of International Money and Finance 47 (2014) C, pp. 217-238

We estimate the myopic (single-period) and intertemporal hedging (long-run) demand for stocks in 20 growth-leading emerging market economies during the 1999–2012 period. We consider two types of investors: a domestic investor who invests in emerging-market assets only (with returns in local...

Persistent link: https://www.econbiz.de/10010906603

Intertemporal portfolio allocationn and hedging demand : an application to South Africa

Van Wyk de Vries, Esti; Gupta, Rangan; Van Eyden, Reneé - In: Journal of business economics and management 15 (2014) 4, pp. 744-775

Persistent link: https://www.econbiz.de/10010415874

Stocks for the long run? : evidence from emerging markets

Spierdijk, Laura; Umar, Zaghum - In: Journal of international money and finance 47 (2014), pp. 217-238

Persistent link: https://www.econbiz.de/10010464022

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 … demand for bonds are not significantly different from zero in any of the countries considered. Furthermore, it is found that …

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

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

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