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Conference Proceedings (1998), Journées Internationales de Finance 98, Association Française de Finance (AFFI)

Dynamic Allocations of Stocks, Bonds and Bills for Long Horizons

BAJEUX-BESNAINOU I., JORDAN J.V., PORTAIT Roland

The model derives optimal portfolio strategies for different utillity functions, when the investor continuously rebalances stocks, bonds and money market instruments. We investigate the conventional wisdom about long horizon investing.

BAJEUX-BESNAINOU, I., JORDAN, J.V. and PORTAIT, R. (1998). Dynamic Allocations of Stocks, Bonds and Bills for Long Horizons. In: Journées Internationales de Finance 98. Association Française de Finance (AFFI).