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Conference Proceedings (1999), Proceedings of the 54th Econometric Society European Meeting - E.S.E.M., ESEM

Dynamic Asset Allocation for Stocks, Bonds and Cash over Long Horizons

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

The model derives optimal portfolio strategies for different utility 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. and PORTAIT, R. (1999). Dynamic Asset Allocation for Stocks, Bonds and Cash over Long Horizons. In: Proceedings of the 54th Econometric Society European Meeting - E.S.E.M. ESEM.