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- W2347374285 abstract "The advices of popular investment advisors are apparently inconsistent with the separation theorem;it is the so-called Canner puzzle.A bank account,nominal bonds,and stocks can be traded,this paper provides the optimal asset allocation strategy with interest rate risk and inflation risk,which can be seem as a background risk.Uncertainty about future interest rates is represented by the HullWhite two-factor model.The solutions are given and the economic significations are analyzed by theoretics and illustrative calculations.The rational explications of the diversities between the popular investment advices and the separation theorem are given.The analysis points to the importance of considering investors' time horizons and level of risk aversion in analyzing optimal portfolio policies.Some advices to the long-term investors with different level of risk aversion are given." @default.
- W2347374285 created "2016-06-24" @default.
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- W2347374285 date "2006-01-01" @default.
- W2347374285 modified "2023-09-28" @default.
- W2347374285 title "A Research on Asset-Mix Investment Strategy and Canner Puzzle in Stochastic Environments" @default.
- W2347374285 hasPublicationYear "2006" @default.
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