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The bond-stock mix: a new insight

Sami Attaoui and Pierre Six
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Pierre Six: Pôle Finance Responsable - Rouen Business School - Rouen Business School

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Abstract: This paper studies the impact of consumption on the bond-stock mix. Contrary to the previous literature, we consider an investor who is more risk averse towards consumption than towards wealth. We obtain, compared to the previous results, different behavior for the speculative and hedging demands of stocks and of bonds, as well as for the optimal bond to stock ratio.

Keywords: Bond-stock mix; consumption; risk aversion; investment horizon; wealth.; wealth (search for similar items in EconPapers)
Date: 2011-05-11
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Published in 28th International Conference of French Finance Association, May 2011, Montpellier, France

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Working Paper: The Bond-Stock Mix: A New Insight (2011)
Working Paper: The Bond-Stock Mix: A New Insight (2011)
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