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Presentations at an Academic or Professional conference (2000), First World Congress of the Bachelier Finance Society

On the Bond Stock Asset Allocation Puzzle

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 bond/stock allocation puzzle (the ratio B/D increases with risk aversion according to popular advice but not according to the standard portfolio theory) about long-term horizon investing.

BAJEUX-BESNAINOU, I., JORDAN, J. and PORTAIT, R. (2000). On the Bond Stock Asset Allocation Puzzle. In: First World Congress of the Bachelier Finance Society.