Finance Papers

Document Type

Journal Article

Date of this Version

2010

Publication Source

Annual Review of Financial Economics

Volume

2

Start Page

175

Last Page

206

DOI

10.1146/annurev-financial-073009-104026

Abstract

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.

Copyright/Permission Statement

Posted with permission from the Annual Review of Financial Economics, Volume 1. © 2010 by Annual Reviews, http://www.annualreviews.org.

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Date Posted: 27 November 2017

This document has been peer reviewed.