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Risk aversion and portfolio allocation to mutual fund classes

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  • Syriopoulos, Theodore

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Article provided by Elsevier in its journal International Review of Economics & Finance.

Volume (Year): 11 (2002)
Issue (Month): 4 ()
Pages: 427-447

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Handle: RePEc:eee:reveco:v:11:y:2002:i:4:p:427-447

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Web page: http://www.elsevier.com/locate/inca/620165

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  1. John Y. Campbell & John H. Cochrane, 1995. "By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior," NBER Working Papers 4995, National Bureau of Economic Research, Inc.
  2. Anderson, G J & Blundell, R W, 1982. "Estimation and Hypothesis Testing in Dynamic Singular Equation Systems," Econometrica, Econometric Society, vol. 50(6), pages 1559-71, November.
  3. Taylor, John C. & Clements, Kenneth W., 1983. "A simple portfolio allocation model of financial wealth," European Economic Review, Elsevier, vol. 23(2), pages 241-251.
  4. Deaton, Angus S & Muellbauer, John, 1980. "An Almost Ideal Demand System," American Economic Review, American Economic Association, vol. 70(3), pages 312-26, June.
  5. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, 09.
  6. Zietz, Joachim & Weichert, Ronald, 1986. "A dynamic singular equation system of asset demand," Kiel Working Papers 256, Kiel Institute for the World Economy.
  7. Erik R. Sirri & Peter Tufano, 1998. "Costly Search and Mutual Fund Flows," Journal of Finance, American Finance Association, vol. 53(5), pages 1589-1622, October.
  8. Eli M. Remolona & Paul Kleiman & Debbie Gruenstein, 1997. "Market returns and mutual fund flows," Economic Policy Review, Federal Reserve Bank of New York, issue Jul, pages 33-52.
  9. Massimo Massa & William Goetzmann & K. Rouwenhorst, 2000. "Behavioral Factors in Mutual Fund Flows," Yale School of Management Working Papers ysm8, Yale School of Management, revised 01 Jan 2001.
  10. Massimo Massa & William N. Goetzmann, 1998. "Index Funds and Stock Market Growth," Yale School of Management Working Papers ysm99, Yale School of Management.
  11. Bewley, R. A., 1983. "Tests of restrictions in large demand systems," European Economic Review, Elsevier, vol. 20(1-3), pages 257-269, January.
  12. Laitinen, Kenneth, 1978. "Why is demand homogeneity so often rejected?," Economics Letters, Elsevier, vol. 1(3), pages 187-191.
  13. Anderson, Gordon & Blundell, Richard, 1983. "Testing Restrictions in a Flexible Dynamic Demand System: An Application to Consumers' Expenditure in Canada," Review of Economic Studies, Wiley Blackwell, vol. 50(3), pages 397-410, July.
  14. Peter Fortune, 1998. "Mutual funds, part II: fund flows and security returns," New England Economic Review, Federal Reserve Bank of Boston, issue Jan, pages 3-22.
  15. Santini, Donald L. & Aber, Jack W., 1998. "Determinants of net new money flows to the equity mutual fund industry," Journal of Economics and Business, Elsevier, vol. 50(5), pages 419-429, September.
  16. Muellbauer, John, 1976. "Community Preferences and the Representative Consumer," Econometrica, Econometric Society, vol. 44(5), pages 979-99, September.
  17. Davidson, James E H, et al, 1978. "Econometric Modelling of the Aggregate Time-Series Relationship between Consumers' Expenditure and Income in the United Kingdom," Economic Journal, Royal Economic Society, vol. 88(352), pages 661-92, December.
  18. Warther, Vincent A., 1995. "Aggregate mutual fund flows and security returns," Journal of Financial Economics, Elsevier, vol. 39(2-3), pages 209-235.
  19. Fama, Eugene F & MacBeth, James D, 1974. "Long-Term Growth in a Short-Term Market," Journal of Finance, American Finance Association, vol. 29(3), pages 857-85, June.
  20. Bera, A. K. & Byron, R. P. & Jarque, C. M., 1981. "Further evidence on asymptotic tests for homogeneity and symmetry in large demand systems," Economics Letters, Elsevier, vol. 8(2), pages 101-105.
  21. Elton, Edwin J & Gruber, Martin J & Blake, Christopher R, 1996. "Survivorship Bias and Mutual Fund Performance," Review of Financial Studies, Society for Financial Studies, vol. 9(4), pages 1097-1120.
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