Asset Allocation

Jessica Wachter ()

No 16255, NBER Working Papers from National Bureau of Economic Research, Inc

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.

JEL-codes: C11 G11 (search for similar items in EconPapers)
Date: 2010-08
New Economics Papers: this item is included in nep-cba
Note: AP
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Citations: View citations in EconPapers (3)

Published as Jessica A. Wachter, 2010. "Asset Allocation," Annual Review of Financial Economics, Annual Reviews, vol. 2(1), pages 175-206, December.

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Journal Article: Asset Allocation (2010)
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