First in setting with Vasicek interest rates we
investing in stock options August 29th, 2008Terms of Use This page was served by apollo3 in seconds.
But how important is it to deviate from the optimal investment strategy in some specific way? This paper provides some general results and general framework for answering such questions and studies some specific model examples in detail. Format Type Number of Downloads DatePosted File Size File name Acrobat File 28, 406K SSRN_ID1098075_code121314. pdf The latest version of Adobe Acrobat Reader or Adobe Acrobat is required to view this paper. Paper Stats Abstract Views Downloads Dynamic Asset Allocation with TimeVarying Investment Opportunities How Costly are Deviations from the Optimal Investment Strategy?
Format Type Number of Downloads DatePosted File Size File name Acrobat File 28, 406K SSRN_ID1098075_code121314. pdf The latest version of Adobe Acrobat Reader or Adobe Acrobat is required to view this paper.
Second, in model of stochastic stock market volatility, we show that the primary motive for including bonds in the portfolio is to improve the riskreturn tradeoff, while the interest rate hedging motive is secondary.
Third, we discuss the benefits from investing in growth stocks and value stocks JEL Classifications G11 Working Paper Series Suggested Citation Munk, Claus and Nielsen, Linda Sandris Dynamic Asset Allocation with TimeVarying Investment Opportunities How Costly are Deviations from the Optimal Investment Strategy? Format Type Number of Downloads DatePosted File Size File name Acrobat File 28, 406K SSRN_ID1098075_code121314. pdf The latest version of Adobe Acrobat Reader or Adobe Acrobat is required to view this paper. The loss from excluding stock options is substantial. Terms of Use This page was served by apollo3 in seconds.
But how important is it to deviate from the optimal investment strategy in some specific way? This paper provides some general results and general framework for answering such questions and studies some specific model examples in detail. SSRN Resources To search for other abstracts in the SSRN archival database, click here. Third, we discuss the benefits from investing in growth stocks and value stocks JEL Classifications G11 Working Paper Series Suggested Citation Munk, Claus and Nielsen, Linda Sandris Dynamic Asset Allocation with TimeVarying Investment Opportunities How Costly are Deviations from the Optimal Investment Strategy? All Rights Reserved.
