Risk aversion and allocation to long-term bonds
نویسندگان
چکیده
منابع مشابه
Risk aversion and allocation to long-term bonds
As risk aversion approaches infinity, the portfolio of an investor with utility over consumption at time T is shown to converge to the portfolio consisting entirely of a bond maturing at time T : Previous work on bond allocation requires a specific model for equities, the term structure, and the investor’s utility function. In contrast, the only substantive assumption required for the analysis ...
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Agents with standard, time-separable preferences do not care about the temporal distribution of risk. This is a strong assumption. For example, it seems plausible that a consumer may nd persistent shocks to consumption less desirable than uncorrelated uctuations. Such a consumer is said to exhibit temporal risk aversion. This paper examines the implications of temporal risk aversion for asset...
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ژورنال
عنوان ژورنال: Journal of Economic Theory
سال: 2003
ISSN: 0022-0531
DOI: 10.1016/s0022-0531(03)00062-0