Asset Allocation

Posted: 12 Nov 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: December 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 (December 2010). Annual Review of Financial Economics, Vol. 2, pp. 175-206, 2010, Available at SSRN: https://ssrn.com/abstract=1707917 or http://dx.doi.org/10.1146/annurev-financial-073009-104026

Jessica A. Wachter (Contact Author)

University of Pennsylvania - Finance Department ( email )

The Wharton School
3620 Locust Walk
Philadelphia, PA 19104
United States
215-898-7634 (Phone)
215-898-6200 (Fax)

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Here is the Coronavirus
related research on SSRN

Paper statistics

Abstract Views
698
PlumX Metrics