Stochastic Interest Rates and the Bond-Stock Mix |
| |
| Authors: | Brennan Michael J; Xia Yihong |
| |
| Institution: | 1 University of California Los Angeles, CA
2 Department of Finance, The Wharton School, University of Pennsylvania 2300 SH-DH, Philadelphia, PA 19104, U.S.A E-mail: yxia{at}wharton.upenn.edu |
| |
| Abstract: | The optimal bond-stock mix is examined in light of an apparentinconsistency between the Tobin Separation Theorem and the adviceof popular investment advisors which has been pointed out byCanner et al. (1997).It is shown that the apparent inconsistencyis largely explicable in terms of the hedging demands of optimisinglong-term investors in an environment in which the investmentopportunity set is subject to stochastic shocks. The analysispoints to the importance of considering investors' time horizonsin analyzing optimal portfolio policies. |
| |
| Keywords: | dynamic portfolio policy hedging asset allocation puzzle |
| 本文献已被 Oxford 等数据库收录！ |
