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Citations for "An Asset Allocation Puzzle"

by Niko Canner & N. Gregory Mankiw & David N. Weil

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  1. James M. Poterba & Andrew A. Samwick, 1997. "Household Portfolio Allocation Over the Life Cycle," NBER Working Papers 6185, National Bureau of Economic Research, Inc.
  2. Ait-Sahalia, Y. & Brandt, M.W., 2001. "Variable Selection for Portfolio Choice," Papers, Manitoba - Department of Economics 34, Manitoba - Department of Economics.
  3. Weinbaum, David, 2005. "Subsistence consumption, habit formation and the demand for long-term bonds," Journal of Economics and Business, Elsevier, Elsevier, vol. 57(4), pages 273-287.
  4. Davis, Steven J. & Willen, Paul S., 2013. "Occupation-level income shocks and asset returns: their covariance and implications for portfolio choice," Working Papers, Federal Reserve Bank of Boston 13-9, Federal Reserve Bank of Boston, revised 24 Oct 2013.
  5. Gary Burtless, 2010. "Lessons of the Financial Crisis for the Design of National Pension Systems," CESifo Economic Studies, CESifo, CESifo, vol. 56(3), pages 323-349, September.
  6. Lioui, Abraham, 2007. "The asset allocation puzzle is still a puzzle," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 31(4), pages 1185-1216, April.
  7. Ahmad Telfah, . "" Do Financial Planners Take Financial Crashes In Their Advice: Dynamic Asset Allocation Under Thick Tails And Fast Volatility Updating," API-Working Paper Series 0604, Arab Planning Institute - Kuwait, Information Center.
  8. Rockenbach, Bettina, 2004. "The behavioral relevance of mental accounting for the pricing of financial options," Journal of Economic Behavior & Organization, Elsevier, Elsevier, vol. 53(4), pages 513-527, April.
  9. de Dreu, Jan & Bikker, Jacob A., 2012. "Investor sophistication and risk taking," Journal of Banking & Finance, Elsevier, Elsevier, vol. 36(7), pages 2145-2156.
  10. Gary Burtless, 2007. "International Investment for Retirement Savers: Historical Evidence on Risk and Returns," Working Papers, Center for Retirement Research at Boston College, Center for Retirement Research wp2007-05, Center for Retirement Research, revised Feb 2007.
  11. LuisM. Viceira & John Y. Campbell, 2001. "Who Should Buy Long-Term Bonds?," American Economic Review, American Economic Association, American Economic Association, vol. 91(1), pages 99-127, March.
  12. Chakroun, Oussama & Dionne, Georges & Dugas-Sampara, Amélie, 2008. "Empirical evaluation of the asset-allocation puzzle," Economics Letters, Elsevier, Elsevier, vol. 100(2), pages 304-307, August.
  13. Lizyayev, Andrey & Ruszczyński, Andrzej, 2012. "Tractable Almost Stochastic Dominance," European Journal of Operational Research, Elsevier, Elsevier, vol. 218(2), pages 448-455.
  14. Hwang, Soosung & Satchell, Steve E., 2010. "How loss averse are investors in financial markets?," Journal of Banking & Finance, Elsevier, Elsevier, vol. 34(10), pages 2425-2438, October.
  15. Oussama Chakroun & Georges Dionne & Amélie Dugas-Sampara, 2006. "Empirical Evaluation of Investor Rationality in the Asset Allocation Puzzle," Cahiers de recherche, CIRPEE 0635, CIRPEE.
  16. Ignacio Palacios-Huerta, 2003. "An Empirical Analysis of the Risk Properties of Human Capital Returns," American Economic Review, American Economic Association, American Economic Association, vol. 93(3), pages 948-964, June.
  17. Dorn, Daniel & Huberman, Gur, 2010. "Preferred risk habitat of individual investors," Journal of Financial Economics, Elsevier, Elsevier, vol. 97(1), pages 155-173, July.
  18. Enrico De Giorgi, . "Evolutionary Portfolio Selection with Liquidity Shocks," IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich 185, Institute for Empirical Research in Economics - University of Zurich.
  19. Farid Mkouar & Jean-Luc Prigent, 2014. "Long-Term Investment with Stochastic Interest and Inflation Rates Incompleteness and Compensating Variation," Working Papers, Department of Research, Ipag Business School 2014-301, Department of Research, Ipag Business School.
  20. Bali, Turan G. & Demirtas, K. Ozgur & Levy, Haim & Wolf, Avner, 2009. "Bonds versus stocks: Investors' age and risk taking," Journal of Monetary Economics, Elsevier, Elsevier, vol. 56(6), pages 817-830, September.
  21. Olivia S. Mitchell & Zvi Bodie, . "A Framework for Analyzing and Managing Retirement Risks," Pension Research Council Working Papers, Wharton School Pension Research Council, University of Pennsylvania 2000-4, Wharton School Pension Research Council, University of Pennsylvania.
  22. John Y. Campbell & Yeung Lewis Chan & Luis M. Viceira, 2001. "A Multivariate Model of Strategic Asset Allocation," NBER Working Papers 8566, National Bureau of Economic Research, Inc.
  23. Olson, Dennis & Bley, Jorg, 2008. "Asset allocation with differential borrowing and lending rates," International Review of Economics & Finance, Elsevier, Elsevier, vol. 17(4), pages 629-643, October.
  24. Jeff Dominitz & Angela Hung, 2006. "Retirement Savings Portfolio Management," Working Papers, University of Michigan, Michigan Retirement Research Center wp138, University of Michigan, Michigan Retirement Research Center.
  25. Isabelle Bajeux-Besnainou & James V. Jordan & Roland Portait, 2001. "An Asset Allocation Puzzle: Comment," American Economic Review, American Economic Association, American Economic Association, vol. 91(4), pages 1170-1179, September.
  26. Brennan, Michael J. & Xia, Yihong, 2000. "Dynamic Asset Allocation under Inflation," University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA qt8p95456t, Anderson Graduate School of Management, UCLA.
  27. De Bondt, Werner F. M., 1998. "A portrait of the individual investor," European Economic Review, Elsevier, Elsevier, vol. 42(3-5), pages 831-844, May.
  28. Shum, Pauline & Faig, Miquel, 2006. "What explains household stock holdings?," Journal of Banking & Finance, Elsevier, Elsevier, vol. 30(9), pages 2579-2597, September.
  29. Munk, Claus & Sørensen, Carsten & Vinther, Tina Nygaard, 2001. "Portfolio Choice under Inflation: Are Popular Recommendations Consistent with Rational Behavior?," Working Papers, Copenhagen Business School, Department of Finance 2001-6, Copenhagen Business School, Department of Finance.
  30. Luis M. Viceira, 2001. "Optimal Portfolio Choice for Long-Horizon Investors with Nontradable Labor Income," Journal of Finance, American Finance Association, American Finance Association, vol. 56(2), pages 433-470, 04.
  31. Iwaisako, Tokuo, 2009. "Household portfolios in Japan," Japan and the World Economy, Elsevier, Elsevier, vol. 21(4), pages 373-382, December.
  32. Ferstl, Robert & Weissensteiner, Alex, 2011. "Asset-liability management under time-varying investment opportunities," Journal of Banking & Finance, Elsevier, Elsevier, vol. 35(1), pages 182-192, January.
  33. Isabelle Bajeux-Besnainou & Kurtay Ogunc, 2006. "Spending rules for endowment funds," Review of Quantitative Finance and Accounting, Springer, Springer, vol. 27(1), pages 93-107, August.
  34. Cartea, Álvaro & Saúl, Jonatan & Toro, Juan, 2012. "Optimal portfolio choice in real terms: Measuring the benefits of TIPS," Journal of Empirical Finance, Elsevier, Elsevier, vol. 19(5), pages 721-740.
  35. Tze Leung Lai & Haipeng Xing & Zehao Chen, 2011. "Mean--variance portfolio optimization when means and covariances are unknown," Papers 1108.0996, arXiv.org.
  36. Munk, Claus & Sorensen, Carsten & Nygaard Vinther, Tina, 2004. "Dynamic asset allocation under mean-reverting returns, stochastic interest rates, and inflation uncertainty: Are popular recommendations consistent with rational behavior?," International Review of Economics & Finance, Elsevier, Elsevier, vol. 13(2), pages 141-166.
  37. John Y. Campbell, 2006. "Household Finance," Journal of Finance, American Finance Association, American Finance Association, vol. 61(4), pages 1553-1604, 08.
  38. Olivia S. Mitchell & James F. Moore, 1997. "Retirement Wealth Accumulation and Decumulation: New Developments and Outstanding Opportunities," NBER Working Papers 6178, National Bureau of Economic Research, Inc.
  39. Anna Zalewska, 2005. "Home bias and stock market development. The Polish experience," The Centre for Market and Public Organisation, Department of Economics, University of Bristol, UK 05/136, Department of Economics, University of Bristol, UK.
  40. Koren, Miklós & Szeidl, Adam, 2003. "Portfolio Choice with Illiquid Assets," CEPR Discussion Papers, C.E.P.R. Discussion Papers 3795, C.E.P.R. Discussion Papers.
  41. Brennan, Michael J & Li, Feifei & Torous, Walt, 2005. "Dollar Cost Averaging," University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA qt53p0r65q, Anderson Graduate School of Management, UCLA.
  42. Ivica Dus & Raimond Maurer & Olivia S. Mitchell, 2003. "Betting on Death and Capital Markets in Retirement: A Shortfall Risk Analysis of Life Annuities versus Phased Withdrawal Plans," Working Papers, University of Michigan, Michigan Retirement Research Center wp063, University of Michigan, Michigan Retirement Research Center.
  43. Jurek, Jakub W & Viceira, Luis M, 2006. "Optimal Value and Growth Tilts in Long-Horizon Portfolios," CEPR Discussion Papers, C.E.P.R. Discussion Papers 5773, C.E.P.R. Discussion Papers.
  44. Elisa Cavezzali & Gloria Gardenal & Ugo Rigoni, 2012. "Risk taking, diversification behavior and financial literacy of individual investors," Working Papers 17, Department of Management, Università Ca' Foscari Venezia.
  45. Marjorie Flavin & Takashi Yamashita, 2002. "Owner-Occupied Housing and the Composition of the Household Portfolio," American Economic Review, American Economic Association, American Economic Association, vol. 92(1), pages 345-362, March.
  46. Barry P. Bosworth & Ralph C. Bryant & Gary Burtless, 2004. "The Impact of Aging on Financial Markets and the Economy: A Survey," Working Papers, Center for Retirement Research at Boston College, Center for Retirement Research 2004-23, Center for Retirement Research.
  47. Ivica Dus & Raimond Maurer & Olivia S. Mitchell, 2005. "Betting on Death and Capital Markets in Retirement: A Shortfall Risk Analysis of Life Annuities," NBER Working Papers 11271, National Bureau of Economic Research, Inc.
  48. Francisco Penaranda, 2007. "Portfolio choice beyond the traditional approach," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library 24481, London School of Economics and Political Science, LSE Library.
  49. Hariharan, Govind & Chapman, Kenneth S. & Domian, Dale L., 2000. "Risk tolerance and asset allocation for investors nearing retirement," Financial Services Review, Elsevier, Elsevier, vol. 9(2), pages 159-170, 00.
  50. Schotman, Peter C. & Schweitzer, Mark, 2000. "Horizon sensitivity of the inflation hedge of stocks," Journal of Empirical Finance, Elsevier, Elsevier, vol. 7(3-4), pages 301-315, November.
  51. Wachter, Jessica A., 2003. "Risk aversion and allocation to long-term bonds," Journal of Economic Theory, Elsevier, Elsevier, vol. 112(2), pages 325-333, October.
  52. Gary Burtless, 2006. "Risk and Reward of International Investing for U.S. Retirement Savers: Historical Evidence," Working Papers, Center for Retirement Research at Boston College, Center for Retirement Research wp2006-25, Center for Retirement Research, revised Dec 2006.
  53. Ahmad Telfah, . "Strategic Asset Allocation in Stochastic Environment And Incomplete Markets: Evidence on Horizon And Hedging Effects," API-Working Paper Series 0603, Arab Planning Institute - Kuwait, Information Center.
  54. Alla A. Melkumian, 2006. "The opportunity cost of being constrained by the type of assets: Bonds only or stocks only," Journal of Applied Economics, Universidad del CEMA, vol. 0, pages 325-343, November.
  55. Han, Nan-Wei & Hung, Mao-Wei, 2006. "Estimated inflation rate, consumption and portfolio decision," Economics Letters, Elsevier, Elsevier, vol. 92(3), pages 402-408, September.
  56. Anderson, Anders E. S., 2004. "One for the Gain, Three for the Loss," SIFR Research Report Series, Institute for Financial Research 20, Institute for Financial Research.
  57. Marjorie Flavin & Shinobu Nakagawa, 2004. "A Model of Housing in the Presence of Adjustment Costs: A Structural Interpretation of Habit Persistence," NBER Working Papers 10458, National Bureau of Economic Research, Inc.
  58. Lin, Wen-chang & Lu, Jin-ray, 2012. "Risky asset allocation and consumption rule in the presence of background risk and insurance markets," Insurance: Mathematics and Economics, Elsevier, vol. 50(1), pages 150-158.
  59. Jan de Dreu & Jacob Bikker, 2009. "Pension fund sophistication and investment policy," DNB Working Papers, Netherlands Central Bank, Research Department 211, Netherlands Central Bank, Research Department.
  60. Andersson, Björn, 2001. "Portfolio Allocation over the Life Cycle: Evidence from Swedish Household Data," Working Paper Series, Uppsala University, Department of Economics 2001:4, Uppsala University, Department of Economics.
  61. Spitzer, John J. & Singh, Sandeep, 2001. "The fallacy of cookie cutter asset allocation: some evidence from "New York's College Savings Program"," Financial Services Review, Elsevier, Elsevier, vol. 10(1-4), pages 101-116.
  62. Boyle, Phelim & Imai, Junichi & Tan, Ken Seng, 2008. "Computation of optimal portfolios using simulation-based dimension reduction," Insurance: Mathematics and Economics, Elsevier, vol. 43(3), pages 327-338, December.
  63. Jonathan Zinman, 2004. "Why use debit instead of credit? Consumer choice in a trillion-dollar market," Staff Reports, Federal Reserve Bank of New York 191, Federal Reserve Bank of New York.
  64. Richard H. Thaler & Shlomo Benartzi, 2001. "Naive Diversification Strategies in Defined Contribution Saving Plans," American Economic Review, American Economic Association, American Economic Association, vol. 91(1), pages 79-98, March.
  65. Ackert, Lucy F. & Church, Bryan K. & Englis, Basil, 2002. "The asset allocation decision and investor heterogeneity: a puzzle?," Journal of Economic Behavior & Organization, Elsevier, Elsevier, vol. 47(4), pages 423-433, April.