Asset Allocation

53 Pages Posted: 10 Aug 2010 Last revised: 16 Aug 2010

See all articles by Jessica A. Wachter

Jessica A. Wachter

University of Pennsylvania - Finance Department; National Bureau of Economic Research (NBER)

Multiple version iconThere are 2 versions of this paper

Date Written: August 2010

Abstract

This review article describes recent literature on asset allocation, covering both static and dynamic models. The article focuses on the bond--stock decision and on the implications of return predictability. In the static setting, investors are assumed to be Bayesian, and the role of various prior beliefs and specifications of the likelihood are explored. In the dynamic setting, recursive utility is assumed, and attention is paid to obtaining analytical results when possible. Results under both full and limited-information assumptions are discussed.

Suggested Citation

Wachter, Jessica A., Asset Allocation (August 2010). NBER Working Paper No. w16255, Available at SSRN: https://ssrn.com/abstract=1654787

Jessica A. Wachter (Contact Author)

University of Pennsylvania - Finance Department ( email )

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