Time Varying Prospective Utility and Optimal Asset Allocation for Stocks and Bonds: The Case of Australia and Japan, 1926-1995

2012 ◽  
Author(s):  
Steve H. Thomas ◽  
Ian D. McManus ◽  
Owain Apgwilym
Keyword(s):  
Asset Allocation ◽  
Time Varying

The demand for eurozone stocks and bonds in a time-varying asset allocation framework

2019 ◽  
Vol 25 (11) ◽  
pp. 994-1011 ◽  
Author(s):  
Zaghum Umar ◽  
Choudhry Tanveer Shehzad ◽  
Aristeidis Samitas
Keyword(s):  
Asset Allocation ◽  
Time Varying

Optimal Asset Allocation with Asymptotic Criteria

2003 ◽  
Vol 06 (06) ◽  
pp. 593-604 ◽  
Author(s):  
Slava Karguine
Keyword(s):  
Asset Allocation ◽  
Asset Returns ◽  
Linear Functions ◽  
Time Varying ◽  
Fast Computation ◽  
Joint Moments ◽  
Numerical Example ◽  
Conditional Expectations ◽  
Wide Range ◽  
Investment Criterion

With the assumptions that asset returns follow a stochastic multi-factor process with time-varying conditional expectations and investments are linear functions of factors, we calculate asymptotic joint moments of the logarithm of investor's wealth and the factors. These formulas enable fast computation of a wide range of investment criteria. The results are illustrated by a numerical example that shows that the optimal portfolio rules are sensitive to the specification of the investment criterion.

scholarly journals Time-varying asset allocation across hedge fund indices

2009 ◽  
Vol 15 (1) ◽  
pp. 70-85 ◽  
Author(s):  
Lorne N Switzer ◽  
Andrey Omelchak
Keyword(s):  
Asset Allocation ◽  
Hedge Fund ◽  
Time Varying

Inter-Temporal Optimal Asset Allocation and Time-Varying Risk Aversion

2014 ◽  
Vol 8 (6) ◽  
pp. 2729-2737 ◽  
Author(s):  
Honglin Yang ◽  
Penglan Fang ◽  
Hong Wan ◽  
Yong Zha
Keyword(s):  
Risk Aversion ◽  
Asset Allocation ◽  
Time Varying
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