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Asset Allocation

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  • Jessica A. Wachter

    (Department of Finance, The Wharton School, University of Pennsylvania, Philadelphia, Pennsylvania 19104)

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.

Suggested Citation

  • Jessica A. Wachter, 2010. "Asset Allocation," Annual Review of Financial Economics, Annual Reviews, vol. 2(1), pages 175-206, December.
    • Handle: RePEc:anr:refeco:v:2:y:2010:p:175-206
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    Cited by:

    1. Ralph S.J. Koijen & Stijn Van Nieuwerburgh, 2011. "Predictability of Returns and Cash Flows," Annual Review of Financial Economics, Annual Reviews, vol. 3(1), pages 467-491, December.
    2. Wachter, Jessica A. & Warusawitharana, Missaka, 2015. "What is the chance that the equity premium varies over time? Evidence from regressions on the dividend-price ratio," Journal of Econometrics, Elsevier, vol. 186(1), pages 74-93.
    3. Jin, Xing & Zhang, Kun, 2013. "Dynamic optimal portfolio choice in a jump-diffusion model with investment constraints," Journal of Banking & Finance, Elsevier, vol. 37(5), pages 1733-1746.
    4. Hui Chen & Nengjiu Ju & Jianjun Miao, 2014. "Dynamic Asset Allocation with Ambiguous Return Predictability," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 17(4), pages 799-823, October.
    5. Jules van Binsbergen & Michael Brandt & Ralph Koijen, 2012. "On the Timing and Pricing of Dividends," American Economic Review, American Economic Association, vol. 102(4), pages 1596-1618, June.
    6. John Y. Campbell & Samuel B. Thompson, 2008. "Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?," Review of Financial Studies, Society for Financial Studies, vol. 21(4), pages 1509-1531, July.

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    Keywords

    portfolio choice; predictive regression; recursive utility;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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