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Risk aversion and allocation to long-term bonds · Study

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ArticleRisk aversion and allocation to long-term bonds

Jessica A. Wachter2003

OA

Articlegreen2003

Risk aversion and allocation to long-term bonds

Jessica A. Wachter

140 citations·0/0 files stored·Journal of Economic Theory

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Stochastic processes and financial applications Financial Markets and Investment Strategies Economic theories and models

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References

1964Risk Aversion in the Small and in the Large 1976Risk Aversion in the Small and in the Large 1979Martingales and arbitrage in multiperiod securities markets 1981Martingales and stochastic integrals in the theory of continuous trading 1989Optimal consumption and portfolio policies when asset prices follow a diffusion process 1987Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon 2001Who Should Buy Long-Term Bonds?1986A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios

Cited by

2015Price Pressures on UK Real Rates: An Empirical Investigation 2003Optimal consumption and investment strategies with stochastic interest rates 2013A Mean-Variance Benchmark for Intertemporal Portfolio Theory 2010Optimal Annuity Risk Management 2007The role of longevity bonds in optimal portfolios 2002Dynamic Asset Allocation With Event Risk

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1998Who Should Buy Long-Term Bonds?chapter · 7 shared references 2002Myopic Portfolio Choicechapter · 7 shared references 2002Strategic Asset Allocation in Continuous Timechapter · 7 shared references 2001Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysisarticle · 6 shared references 2000Continuous‐Time Methods in Finance: A Review and an Assessmentarticle · 6 shared references 2000Local martingales, arbitrage, and viabilityarticle · 6 shared references

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Year2003

Typearticle

Published2003-06-02

VenueJournal of Economic Theory

ISSN-L0022-0531

Languageen

Citations140

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/s0022-0531(03)00062-0

openalex_workW2051047282

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2021Portfolios for Long-Term Investors

2013Robust portfolio choice with stochastic interest rates