MARC Record from Library of Congress

LEADER: 02100cam a22003017a 4500
001 2005619272
003 DLC
005 20050624135539.0
007 cr |||||||||||
008 050624s2005 mou sb f000 0 eng
010 $a 2005619272
040 $aDLC$cDLC
050 00 $aHB1
100 1 $aGuidolin, Massimo.
245 10 $aOptimal portfolio choice under regime switching, skew and kurtosis preferences$h[electronic resource] /$cby Massimo Guidolin and Allan Timmermann.
260 $a[St. Louis, Mo.] :$bFederal Reserve Bank of St. Louis,$c[2005]
490 1 $aWorking paper ;$v2005-006A
538 $aSystem requirements: Adobe Acrobat Reader.
538 $aMode of access: World Wide Web.
500 $aTitle from PDF file as viewed on 6/24/2005.
530 $aAlso available in print.
504 $aIncludes bibliographical references.
520 3 $a"This paper proposes a new tractable approach to solving multi-period asset allocation problems. We assume that investor preferences are defined over moments of the terminal wealth distribution such as its skew and kurtosis. Time-variations in investment opportunities are driven by a regime switching process that can capture bull and bear states. We develop analytical methods that only require solving a small set of difference equations and thus are very convenient to use. These methods are applied to a simple portfolio selection problem involving choosing between a stock index and a risk-free asset in the presence of bull and bear states in the return distribution. If the market is in a bear state, investors increase allocations to stocks the longer their time horizon. Conversely, in bull markets it is optimal for investors to decrease allocations to stocks the longer their investment horizon"--Federal Reserve Bank of St. Louis web site.
650 0 $aAsset allocation$xEconometric models.
700 1 $aTimmermann, Allan.
710 2 $aFederal Reserve Bank of St. Louis.
830 0 $aWorking paper (Federal Reserve Bank of St. Louis : Online) ;$v2005-006A.
856 40 $uhttp://research.stlouisfed.org/wp/more/2005-006/