NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Asset Allocation

Jessica Wachter

NBER Working Paper No. 16255
Issued in August 2010
NBER Program(s):   AP

This review article describes recent literature on asset allocation, covering both static and dynamic models. The article focuses on the bond--stock decision and on the implications of return predictability. In the static setting, investors are assumed to be Bayesian, and the role of various prior beliefs and specifications of the likelihood are explored. In the dynamic setting, recursive utility is assumed, and attention is paid to obtaining analytical results when possible. Results under both full and limited-information assumptions are discussed.

download in pdf format
   (312 K)

email paper

This paper is available as PDF (312 K) or via email.

Machine-readable bibliographic record - MARC, RIS, BibTeX

Document Object Identifier (DOI): 10.3386/w16255

Published: Jessica A. Wachter, 2010. "Asset Allocation," Annual Review of Financial Economics, Annual Reviews, vol. 2(1), pages 175-206, December. citation courtesy of

Users who downloaded this paper also downloaded these:
Wachter and Warusawitharana w13165 Predictable Returns and Asset Allocation: Should a Skeptical Investor Time the Market?
van Binsbergen and Brandt w12970 Optimal Asset Allocation in Asset Liability Management
Poterba, Rauh, Venti, and Wise w11974 Lifecycle Asset Allocation Strategies and the Distribution of 401(k) Retirement Wealth
Liu, Longstaff, and Pan w9103 Dynamic Asset Allocation With Event Risk
Campbell, Giglio, and Polk w16222 Hard Times
 
Publications
Activities
Meetings
NBER Videos
Data
People
About

Support
National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email: info@nber.org

Contact Us