OPTIMAL INTERNATIONAL ASSET ALLOCATION WITH TIME-VARYING RISK

International Asset Allocation with Time-Varying Investment Opportunities

International Asset Allocation with Regime Shifts

Correlations between international equity market returns tend to increase in highly volatile bear markets, which has led some to doubt the benefits of international diversification. This article solves the dynamic portfolio choice problem of a US investor faced with a time-varying investment opportunity set modeled using a regime-switching process which may be characterized by correlations and ...

Do Fluctuations in Wealth Generate Time-Varying Risk Aversion? Micro-Evidence on Individuals’ Asset Allocation

One explanation for the apparent " excess volatility " and predictability of stock returns is that fluctuations in wealth generate counter-cyclical variation in risk aversion, as, for example, in models with additive habit formation preferences. While these representative-agent models have some success in matching moments of aggregate variables, it is not clear yet what their micro-foundations ...

Optimal Asset Allocation with Asymptotic Criteria

Assume (1) asset returns follow a stochastic multi-factor process with time-varying conditional expectations; (2) investments are linear functions of factors. This paper calculates 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 s...

optimal asset allocation in the presence of macroeconomic uncertainties and international sanctions against iran

the current study addresses an estimation of investor's optimal portfolio under conditions of uncertainty by using a combination of artificial neural network and markowitz models. for this purpose, such assets as stock prices, house prices, coin and bonds price are used with monthly data over the period 1378-1392. three variables including inflation uncertainty, oil uncertainty and free ma...