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An Asset Allocation Puzzle

Citations

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Cited by:

  1. 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.
  2. Kevin C. H. Chiang & Xiyu (Thomas) Zhou, 2009. "Do aggressive funds reallocate their portfolios aggressively?," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 49(3), pages 481-503, September.
  3. Lee, Boram & Rosenthal, Leonard & Veld, Chris & Veld-Merkoulova, Yulia, 2015. "Stock market expectations and risk aversion of individual investors," International Review of Financial Analysis, Elsevier, vol. 40(C), pages 122-131.
  4. Duxbury, Darren & Hudson, Robert & Keasey, Kevin & Summers, Barbara, 2005. "Should actions speak louder than words? Individuals' attitudes and behavior in asset allocation choices," Economics Letters, Elsevier, vol. 89(1), pages 107-111, October.
  5. Michel Verlaine, 2022. "Behavioral finance and the architecture of the asset management industry," Journal of Economic Surveys, Wiley Blackwell, vol. 36(5), pages 1454-1476, December.
  6. Kremena Bachmann & Thorsten Hens, 2010. "Behavioral Finance and Investment Advice," Chapters, in: Brian Bruce (ed.), Handbook of Behavioral Finance, chapter 15, Edward Elgar Publishing.
  7. 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.
  8. John Y. Campbell, 2000. "Asset Pricing at the Millennium," Journal of Finance, American Finance Association, vol. 55(4), pages 1515-1567, August.
  9. Philippe de Brouwer, 2016. "Proposal for a Practical Implementation of Maslowian Portfolio Theory (Wniosek dotyczacy praktycznego wdrozenia Maslowian Portfolio Theory)," Problemy Zarzadzania, University of Warsaw, Faculty of Management, vol. 14(63), pages 39-56.
  10. Hong, Yi & Jin, Xing, 2018. "Semi-analytical solutions for dynamic portfolio choice in jump-diffusion models and the optimal bond-stock mix," European Journal of Operational Research, Elsevier, vol. 265(1), pages 389-398.
  11. Schotman, Peter C. & Schweitzer, Mark, 2000. "Horizon sensitivity of the inflation hedge of stocks," Journal of Empirical Finance, Elsevier, vol. 7(3-4), pages 301-315, November.
  12. John Y. Campbell & Yeung Lewis Chanb & M. Viceira, 2013. "A multivariate model of strategic asset allocation," World Scientific Book Chapters, in: Leonard C MacLean & William T Ziemba (ed.), HANDBOOK OF THE FUNDAMENTALS OF FINANCIAL DECISION MAKING Part II, chapter 39, pages 809-848, World Scientific Publishing Co. Pte. Ltd..
  13. Marc Peter Radke & Manuel Rupprecht, 2021. "Household Wealth: Low-Yielding and Poorly Structured?," JRFM, MDPI, vol. 14(3), pages 1-40, March.
  14. LuisM. Viceira & John Y. Campbell, 2001. "Who Should Buy Long-Term Bonds?," American Economic Review, American Economic Association, vol. 91(1), pages 99-127, March.
  15. 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, vol. 10(1-4), pages 101-116.
  16. Chang Shih-Chieh Bill & Tsai Chenghsien & Hung Li-Chuan, 2005. "Incorporating Foreign Equities in the Optimal Asset Allocation of an Insurer with the Consideration for Background Risks: Models and Numerical Illustrations," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 1(1), pages 1-22, June.
  17. Tsai, Hui-Ju & Wu, Yangru, 2014. "Optimal portfolio choice for investors with industry-specific labor income risks," Finance Research Letters, Elsevier, vol. 11(4), pages 429-436.
  18. Hui-Ju Tsai & Yangru Wu, 2015. "Optimal portfolio choice with asset return predictability and nontradable labor income," Review of Quantitative Finance and Accounting, Springer, vol. 45(1), pages 215-249, July.
  19. Steven J. Davis & Paul Willen, 2013. "Occupation-Level Income Shocks and Asset Returns: Their Covariance and Implications for Portfolio Choice," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 3(03n04), pages 1-53.
  20. Boyle, Glenn & Guthrie, Graeme, 2005. "Human Capital and Popular Investment Advice," Working Paper Series 18962, Victoria University of Wellington, The New Zealand Institute for the Study of Competition and Regulation.
  21. Jakub W. Jurek & Luis M. Viceira, 2011. "Optimal Value and Growth Tilts in Long-Horizon Portfolios," Review of Finance, European Finance Association, vol. 15(1), pages 29-74.
  22. Andersson, Björn, 2001. "Portfolio Allocation over the Life Cycle: Evidence from Swedish Household Data," Working Paper Series 2001:4, Uppsala University, Department of Economics.
  23. Iwaisako, Tokuo, 2009. "Household portfolios in Japan," Japan and the World Economy, Elsevier, vol. 21(4), pages 373-382, December.
  24. Kimball, Miles S. & Shapiro, Matthew D. & Shumway, Tyler & Zhang, Jing, 2020. "Portfolio rebalancing in general equilibrium," Journal of Financial Economics, Elsevier, vol. 135(3), pages 816-834.
  25. Ivan Jaccard, 2006. "Strategic Asset Allocation, Asset Price Dynamics, and the Business Cycle," 2006 Meeting Papers 574, Society for Economic Dynamics.
  26. John Y. Campbell, 2006. "Household Finance," Journal of Finance, American Finance Association, vol. 61(4), pages 1553-1604, August.
  27. André Palma & Jean-Luc Prigent, 2009. "Standardized versus customized portfolio: a compensating variation approach," Annals of Operations Research, Springer, vol. 165(1), pages 161-185, January.
  28. Gary Burtless, 2010. "Lessons of the Financial Crisis for the Design of National Pension Systems," CESifo Economic Studies, CESifo Group, vol. 56(3), pages 323-349, September.
  29. Olivia S. Mitchell & James F. Moore, "undated". "Retirement Wealth Accumulation and Decumulation: New Developments and Outstanding Opportunities," Pension Research Council Working Papers 97-8, Wharton School Pension Research Council, University of Pennsylvania.
  30. De Bondt, Werner F. M., 1998. "A portrait of the individual investor," European Economic Review, Elsevier, vol. 42(3-5), pages 831-844, May.
  31. 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 wp063, University of Michigan, Michigan Retirement Research Center.
  32. Mkaouar, Farid & Prigent, Jean-Luc & Abid, Ilyes, 2017. "Long-term investment with stochastic interest and inflation rates: The need for inflation-indexed bonds," Economic Modelling, Elsevier, vol. 67(C), pages 228-247.
  33. James M. Poterba & Andrew Samwick, 2001. "Household Portfolio Allocation over the Life Cycle," NBER Chapters, in: Aging Issues in the United States and Japan, pages 65-104, National Bureau of Economic Research, Inc.
  34. Carmelo Giaccotto & Joseph Golec & Bryan P. Schmutz, 2017. "Measuring the Performance of the Secondary Market for Life Insurance Policies," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(1), pages 127-151, March.
  35. Koren Miklós & Szeidl Ádám, 2002. "Portfolio Choice with Illiquid Assets," Rajk László Szakkollégium Working Papers 6, Rajk László College.
  36. Jing Jian Xiao & Chunsheng Tao, 2020. "Consumer finance/household finance: the definition and scope," China Finance Review International, Emerald Group Publishing Limited, vol. 11(1), pages 1-25, June.
  37. 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 wp2006-25, Center for Retirement Research, revised Dec 2006.
  38. Penaranda, Francisco, 2007. "Portfolio choice beyond the traditional approach," LSE Research Online Documents on Economics 24481, London School of Economics and Political Science, LSE Library.
  39. Jeff Dominitz & Angela Hung, 2006. "Retirement Savings Portfolio Management," Working Papers wp138, University of Michigan, Michigan Retirement Research Center.
  40. Cartea, Álvaro & Saúl, Jonatan & Toro, Juan, 2012. "Optimal portfolio choice in real terms: Measuring the benefits of TIPS," Journal of Empirical Finance, Elsevier, vol. 19(5), pages 721-740.
  41. Leirvik, Thomas, 2014. "The bond–stock mix under time-varying interest rates and predictable stock returns," Finance Research Letters, Elsevier, vol. 11(3), pages 231-237.
  42. De Giorgi, Enrico, 2008. "Evolutionary portfolio selection with liquidity shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 32(4), pages 1088-1119, April.
  43. Lizyayev, Andrey & Ruszczyński, Andrzej, 2012. "Tractable Almost Stochastic Dominance," European Journal of Operational Research, Elsevier, vol. 218(2), pages 448-455.
  44. Gary Burtless, 2007. "International Investment for Retirement Savers: Historical Evidence on Risk and Returns," Working Papers, Center for Retirement Research at Boston College wp2007-05, Center for Retirement Research, revised Feb 2007.
  45. Lioui, Abraham & Tarelli, Andrea, 2019. "Macroeconomic environment, money demand and portfolio choice," European Journal of Operational Research, Elsevier, vol. 274(1), pages 357-374.
  46. Ahmad Telfah, "undated". "" 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.
  47. Marjorie Flavin & Takashi Yamashita, 2002. "Owner-Occupied Housing and the Composition of the Household Portfolio," American Economic Review, American Economic Association, vol. 92(1), pages 345-362, March.
  48. Guiso, Luigi & Sodini, Paolo, 2013. "Household Finance: An Emerging Field," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 1397-1532, Elsevier.
  49. Forbes, William & Hudson, Robert & Skerratt, Len & Soufian, Mona, 2015. "Which heuristics can aid financial-decision-making?," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 199-210.
  50. Han, Nan-Wei & Hung, Mao-Wei, 2006. "Estimated inflation rate, consumption and portfolio decision," Economics Letters, Elsevier, vol. 92(3), pages 402-408, September.
  51. Dorn, Daniel & Huberman, Gur, 2010. "Preferred risk habitat of individual investors," Journal of Financial Economics, Elsevier, vol. 97(1), pages 155-173, July.
  52. Ying‐Yin Chou & Nan‐Wei Han & Mao‐Wei Hung, 2011. "Optimal portfolio‐consumption choice under stochastic inflation with nominal and indexed bonds," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 27(6), pages 691-706, November.
  53. Gerrard, Russell & Kyriakou, Ioannis & Nielsen, Jens Perch & Vodička, Peter, 2023. "On optimal constrained investment strategies for long-term savers in stochastic environments and probability hedging," European Journal of Operational Research, Elsevier, vol. 307(2), pages 948-962.
  54. Chakroun, Oussama & Dionne, Georges & Dugas-Sampara, Amélie, 2008. "Empirical evaluation of the asset-allocation puzzle," Economics Letters, Elsevier, vol. 100(2), pages 304-307, August.
  55. repec:vuw:vuwscr:18962 is not listed on IDEAS
  56. Michael Dempsey, 2015. "Stock Markets, Investments and Corporate Behavior:A Conceptual Framework of Understanding," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number p1007.
  57. Chakroun, Oussama & Dionne, Georges & Dugas-Sampara, Amélie, 2006. "Empirical evaluation of investor rationality in the asset allocation puzzle," Working Papers 06-11, HEC Montreal, Canada Research Chair in Risk Management.
  58. Farid Mkaouar & Jean-Luc Prigent & Ilyes Abid, 2019. "A Diffusion Model for Long-Term Optimization in the Presence of Stochastic Interest and Inflation Rates," Computational Economics, Springer;Society for Computational Economics, vol. 54(1), pages 367-417, June.
  59. Michael J. Brennan & Yihong Xia, 2002. "Dynamic Asset Allocation under Inflation," Journal of Finance, American Finance Association, vol. 57(3), pages 1201-1238, June.
  60. Tze Leung Lai & Haipeng Xing & Zehao Chen, 2011. "Mean--variance portfolio optimization when means and covariances are unknown," Papers 1108.0996, arXiv.org.
  61. Richard H. Thaler & Shlomo Benartzi, 2001. "Naive Diversification Strategies in Defined Contribution Saving Plans," American Economic Review, American Economic Association, vol. 91(1), pages 79-98, March.
  62. Bai, Zhidong & Liu, Huixia & Wong, Wing-Keung, 2016. "Making Markowitz's Portfolio Optimization Theory Practically Useful," MPRA Paper 74360, University Library of Munich, Germany.
  63. Lu, Xiaomeng & Guo, Jiaojiao & Gan, Li, 2020. "International comparison of household asset allocation: Micro-evidence from cross-country comparisons," Emerging Markets Review, Elsevier, vol. 43(C).
  64. Sendhil Mullainathan & Markus Noeth & Antoinette Schoar, 2012. "The Market for Financial Advice: An Audit Study," NBER Working Papers 17929, National Bureau of Economic Research, Inc.
  65. Ignacio Palacios-Huerta, 2001. "An Empirical Analysis of the Risk Properties of Human Capital Returns," Working Papers 2001-10, Brown University, Department of Economics.
  66. Bali, Turan G. & Demirtas, K. Ozgur & Levy, Haim & Wolf, Avner, 2009. "Bonds versus stocks: Investors' age and risk taking," Journal of Monetary Economics, Elsevier, vol. 56(6), pages 817-830, September.
  67. Ahmad Telfah, "undated". "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.
  68. Hariharan, Govind & Chapman, Kenneth S. & Domian, Dale L., 2000. "Risk tolerance and asset allocation for investors nearing retirement," Financial Services Review, Elsevier, vol. 9(2), pages 159-170, 00.
  69. 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. 9, pages 325-343, November.
  70. 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 2004-23, Center for Retirement Research.
  71. Ackert, Lucy F. & Church, Bryan K. & Englis, Basil, 2002. "The asset allocation decision and investor heterogeneity: a puzzle?," Journal of Economic Behavior & Organization, Elsevier, vol. 47(4), pages 423-433, April.
  72. Rockenbach, Bettina, 2004. "The behavioral relevance of mental accounting for the pricing of financial options," Journal of Economic Behavior & Organization, Elsevier, vol. 53(4), pages 513-527, April.
  73. Luis M. Viceira, 2001. "Optimal Portfolio Choice for Long‐Horizon Investors with Nontradable Labor Income," Journal of Finance, American Finance Association, vol. 56(2), pages 433-470, April.
  74. Ferstl, Robert & Weissensteiner, Alex, 2011. "Asset-liability management under time-varying investment opportunities," Journal of Banking & Finance, Elsevier, vol. 35(1), pages 182-192, January.
  75. Lioui, Abraham, 2007. "The asset allocation puzzle is still a puzzle," Journal of Economic Dynamics and Control, Elsevier, vol. 31(4), pages 1185-1216, April.
  76. Julian Holzermann, 2023. "Optimal Investment with Stochastic Interest Rates and Ambiguity," Papers 2306.13343, arXiv.org, revised Oct 2023.
  77. Chiaki Hara & Toshiki Honda, 2018. "ImpliedAmbiguity:Mean-Variance Efficiency andPricingErrors," KIER Working Papers 1004, Kyoto University, Institute of Economic Research.
  78. Hübner, Georges & Lejeune, Thomas, 2021. "Mental accounts with horizon and asymmetry preferences," Economic Modelling, Elsevier, vol. 103(C).
  79. Suh, Jungwon, 2005. "Home bias among institutional investors: a study of the Economist Quarterly Portfolio Poll," Journal of the Japanese and International Economies, Elsevier, vol. 19(1), pages 72-95, March.
  80. Michael Brennan & Feifei Li & Walter Torous, 2005. "Dollar Cost Averaging," Review of Finance, Springer, vol. 9(4), pages 509-535, December.
  81. Linan Diao & Jörg Rieskamp, 2011. "Reinforcement Learning in Repeated Portfolio Decisions," Jena Economics Research Papers 2011-009, Friedrich-Schiller-University Jena.
  82. Yacine AÏT‐SAHALI & Michael W. Brandt, 2001. "Variable Selection for Portfolio Choice," Journal of Finance, American Finance Association, vol. 56(4), pages 1297-1351, August.
  83. Jonathan Zinman, 2004. "Why use debit instead of credit? Consumer choice in a trillion-dollar market," Staff Reports 191, Federal Reserve Bank of New York.
  84. Magnus Dahlquist & José Vicente Martinez, 2015. "Investor Inattention: A Hidden Cost of Choice in Pension Plans?," European Financial Management, European Financial Management Association, vol. 21(1), pages 1-19, January.
  85. Arnold Shapiro, 2013. "Fuzzy post-retirement financial concepts: an exploratory study," METRON, Springer;Sapienza Università di Roma, vol. 71(3), pages 261-278, November.
  86. J. de Dreu & J.A. Bikker, 2009. "Pension fund sophistication and investment policy," Working Papers 09-13, Utrecht School of Economics.
  87. 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.
  88. Yamashita, Takashi, 2003. "Owner-occupied housing and investment in stocks: an empirical test," Journal of Urban Economics, Elsevier, vol. 53(2), pages 220-237, March.
  89. Charles-Olivier Amédée-Manesme & Fabrice Barthélémy & Philippe Bertrand & Jean-Luc Prigent, 2019. "Mixed-asset portfolio allocation under mean-reverting asset returns," Annals of Operations Research, Springer, vol. 281(1), pages 65-98, October.
  90. Chang, C-L. & McAleer, M.J. & Wong, W.-K., 2015. "Informatics, Data Mining, Econometrics and Financial Economics: A Connection," Econometric Institute Research Papers EI2015-34, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  91. Shum, Pauline & Faig, Miquel, 2006. "What explains household stock holdings?," Journal of Banking & Finance, Elsevier, vol. 30(9), pages 2579-2597, September.
  92. Hwang, Soosung & Satchell, Steve E., 2010. "How loss averse are investors in financial markets?," Journal of Banking & Finance, Elsevier, vol. 34(10), pages 2425-2438, October.
  93. Fabio Maccheroni & Massimo Marinacci & Doriana Ruffino, 2013. "Alpha as Ambiguity: Robust Mean‐Variance Portfolio Analysis," Econometrica, Econometric Society, vol. 81(3), pages 1075-1113, May.
  94. Olson, Dennis & Bley, Jorg, 2008. "Asset allocation with differential borrowing and lending rates," International Review of Economics & Finance, Elsevier, vol. 17(4), pages 629-643, October.
  95. 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.
  96. Isabelle Bajeux-Besnainou & Kurtay Ogunc, 2006. "Spending rules for endowment funds," Review of Quantitative Finance and Accounting, Springer, vol. 27(1), pages 93-107, August.
  97. Giuseppe Buccheri & Davide Pirino & Luca Trapin, 2021. "Managing liquidity with portfolio staleness," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(1), pages 215-239, June.
  98. Glenn Boyle & Roger Stover & Amrit Tiwana & Oleksandr Zhylyevskyy, 2016. "“Honey, the Bank Might Go Bust”: The Response of Finance Professionals to a Banking System Shock," Working Papers in Economics 16/28, University of Canterbury, Department of Economics and Finance.
  99. Isabelle Bajeux-Besnainou & James V. Jordan & Roland Portait, 2001. "An Asset Allocation Puzzle: Comment," American Economic Review, American Economic Association, vol. 91(4), pages 1170-1179, September.
  100. Anderson, Anders E. S., 2004. "One for the Gain, Three for the Loss," SIFR Research Report Series 20, Institute for Financial Research.
  101. Baars, Maren & Cordes, Henning & Mohrschladt, Hannes, 2020. "How negative interest rates affect the risk-taking of individual investors: Experimental evidence," Finance Research Letters, Elsevier, vol. 32(C).
  102. Munk, Claus & Sørensen, Carsten & Vinther, Tina Nygaard, 2001. "Portfolio Choice under Inflation: Are Popular Recommendations Consistent with Rational Behavior?," Working Papers 2001-6, Copenhagen Business School, Department of Finance.
  103. Olivia S. Mitchell & Zvi Bodie, "undated". "A Framework for Analyzing and Managing Retirement Risks," Pension Research Council Working Papers 2000-4, Wharton School Pension Research Council, University of Pennsylvania.
  104. Omid Momen & Akbar Esfahanipour & Abbas Seifi, 2020. "A robust behavioral portfolio selection: model with investor attitudes and biases," Operational Research, Springer, vol. 20(1), pages 427-446, March.
  105. Brennan, Michael J. & Xia, Yihong, 2000. "Dynamic Asset Allocation under Inflation," University of California at Los Angeles, Anderson Graduate School of Management qt8p95456t, Anderson Graduate School of Management, UCLA.
  106. Glenn W. Boyle & Graeme A. Guthrie, 2005. "Human Capital and Popular Investment Advice," Review of Finance, European Finance Association, vol. 9(2), pages 139-164.
  107. Börsch-Supan, Axel & Ludwig, Alexander & Sommer, Mathias, 2005. "Aging and Asset Prices," Sonderforschungsbereich 504 Publications 07-29, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
  108. Ignacio Palacios-Huerta, 2003. "An Empirical Analysis of the Risk Properties of Human Capital Returns," American Economic Review, American Economic Association, vol. 93(3), pages 948-964, June.
  109. Farid Mkouar & Jean-Luc Prigent, 2014. "Long-Term Investment with Stochastic Interest and Inflation Rates Incompleteness and Compensating Variation," Working Papers 2014-301, Department of Research, Ipag Business School.
  110. 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, vol. 13(2), pages 141-166.
  111. Anna Zalewska, 2005. "Home bias and stock market development. The Polish experience," The Centre for Market and Public Organisation 05/136, The Centre for Market and Public Organisation, University of Bristol, UK.
  112. de Dreu, Jan & Bikker, Jacob A., 2012. "Investor sophistication and risk taking," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 2145-2156.
  113. Weinbaum, David, 2005. "Subsistence consumption, habit formation and the demand for long-term bonds," Journal of Economics and Business, Elsevier, vol. 57(4), pages 273-287.
  114. Xie, Yuxin & Hwang, Soosung & Pantelous, Athanasios A., 2018. "Loss aversion around the world: Empirical evidence from pension funds," Journal of Banking & Finance, Elsevier, vol. 88(C), pages 52-62.
  115. Aytaç, Beysül & Hoang, Thi-Hong-Van & Mandou, Cyrille, 2016. "Wine: To drink or invest in? A study of wine as an investment asset in French portfolios," Research in International Business and Finance, Elsevier, vol. 36(C), pages 591-614.
  116. 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.
  117. Dahlquist, Magnus & Tédongap, Roméo & Farago, Adam, 2015. "Asymmetries and Portfolio Choice," CEPR Discussion Papers 10706, C.E.P.R. Discussion Papers.
  118. Wachter, Jessica A., 2003. "Risk aversion and allocation to long-term bonds," Journal of Economic Theory, Elsevier, vol. 112(2), pages 325-333, October.
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