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58
An Asset Allocation Puzzle
 National Bureau of Economic Research (Cambridge, MA) Working Paper
, 1994
"... This paper examines popular advice on portfolio allocation among cash, bonds, and stocks. It documents that this advice is inconsistent with the mutualfund separation theorem, which states that all investors should hold the same composition of risky assets. In contrast to the theorem, popular advis ..."
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Cited by 74 (0 self)
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hold more of their portfolios in the riskless asset. The composition of risky assets, however, should be the same for all investors. Popular financial advisors appear not to follow the mutualfund separation theorem. When these advisors are asked to allocate portfolios among stocks, bonds, and cash
When does aggregation reduce risk aversion?
, 2009
"... We study the problem of risk sharing within a household facing subjective uncertainty. A household shares uncertain prospects using a social welfare function. We characterize the social welfare functions such that the household is collectively less risk averse than each member, and satisfies the Par ..."
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Cited by 3 (0 self)
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the Pareto principle and an independence axiom. We single out the sum of certainty equivalents as the unique member of this family which provides quasiconcave rankings over riskless allocations.
Stable Allocations of Risk∗
, 2007
"... The measurement and the allocation of risk are fundamental problems of portfolio management. Coherent measures of risk provide an axiomatic approach to the former problem. In an environment given by a coherent measure of risk and the various portfolios ’ realization vectors, risk allocation games a ..."
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stable allocation of risk is always possible. When the aggregate portfolio is riskless: risk is limited to subportfolios, the class of risk allocation games coincides with the class of exact games. As in exact games any subcoalition may be subject to marginalization even in core allocations, our result
Portfolio Allocation and International Risk Sharing
, 2011
"... Recent contributions have shown that it is possible to account for the socalled consumptionreal exchange anomaly in models with goods market frictions where international asset trade is limited to a riskless bond. In this paper, we consider a more realistic international asset market structure and ..."
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Cited by 1 (1 self)
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Recent contributions have shown that it is possible to account for the socalled consumptionreal exchange anomaly in models with goods market frictions where international asset trade is limited to a riskless bond. In this paper, we consider a more realistic international asset market structure
Bank competition, risk and asset allocations
 IMF Working Papers 09/143, International Monetary Fund
, 2009
"... 2009 This Working Paper should not be reported as representing the views of the IMF. The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published t ..."
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Cited by 2 (0 self)
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to elicit comments and to further debate. We study a banking model in which banks invest in a riskless asset and compete in both deposit and risky loan markets. The model predicts that as competition increases, both loans and assets increase; however, the effect on the loanstoassets ratio is ambiguous
RISK, MISPRICING, AND ASSET ALLOCATION: CONDITIONING ON DIVIDEND YIELD
, 2001
"... In the asset pricing literature, timevariation in market expected excess return captured by financial ratios like dividend yield is typically viewed as a reflection of either changing risk, related to the business cycle, or irrational mispricing. Extending the work on asset allocation and dividend ..."
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, different views on the relative importance of these factors can have important implications for asset allocation between a stock index and a riskless asset. In general, however, the simple risk/return model of Merton (1980) explains very little of the yieldrelated return predictability observed.
The Problem Of Optimal Asset Allocation With Stable Distributed Returns
 Stochastic Processes and Functional Analysis, Dekker Series of Lecture Notes in Pure and Applied Mathematics
, 2004
"... This paper discusses two optimal allocation problems. We consider different hypotheses of portfolio selection with stable distributed returns for each of them. In particular, we study the optimal allocation between a riskless return and risky stable distributed returns. Furthermore, we examine and c ..."
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Cited by 10 (6 self)
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This paper discusses two optimal allocation problems. We consider different hypotheses of portfolio selection with stable distributed returns for each of them. In particular, we study the optimal allocation between a riskless return and risky stable distributed returns. Furthermore, we examine
FRICTIONLESS ASSET ALLOCATION WITH ELLIPTICALLY SYMMETRIC DISTRIBUTIONS OF RETURNS
"... ABSTRACT. Frictionless asset allocation is examined for constant absolute risk aversion. The optimal portfolio for a general class of multivariate probability distributions with elliptical symmetry is presented. The optimal portfolio under these conditions is given by the portfolio obtained by mean ..."
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Uncertainty. Given the utility hypothesis, the approach to an asset allocation problem is straightforward. An agent purchases a portfolio, C, of risky assets available for investment. Let the intertemporal change in the asset prices be p, and the rate of return on riskless assets be r. With an initial
Pension Funds, LifeCycle Asset Allocation and Performance Evaluation 1
, 2009
"... We present a lifecycle model for pension funds ' optimal asset allocation, where the agents ' labor income process is calibrated to capture a realistic humpshaped pattern and the available financial assets include one riskless and two risky assets, with returns potentially correlated wit ..."
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Cited by 3 (0 self)
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We present a lifecycle model for pension funds ' optimal asset allocation, where the agents ' labor income process is calibrated to capture a realistic humpshaped pattern and the available financial assets include one riskless and two risky assets, with returns potentially correlated
Strategic Asset Allocation in a ContinuousTime VAR Model.Journal of Economic Dynamics & Control 28
, 2004
"... This paper derives an approximate solution to a continuoustime intertemporal portfolio and consumption choice problem. The problem is the continuoustime equivalent of the discretetime problem studied by Campbell and Viceira (1999), in which the expected excess return on a risky asset follows an A ..."
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Cited by 20 (1 self)
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an AR(1) process, while the riskless interest rate is constant. The paper also shows how to obtain continuoustime parameters that are consistent with discretetime econometric estimates. The continuoustime solution is the limit of that of Campbell and Viceira and has the property that conservative
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