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• W2926801913 abstract "Abstract Almost Stochastic Dominance implies that stocks are preferred over bonds in the long-run by all preferences with bounded marginal utility. Unfortunately, this analysis excludes the very central Constant Relative Risk Aversion (CRRA) preferences, which have unbounded marginal utility. We derive a simple closed-form solution for the portfolio-choice problem of CRRA investors which, with the empirical parameters, implies that stocks are preferred over bonds for all CRRA investors with relative risk aversion smaller than 3.9. As a by-product, the analysis offers an alternative derivation of the continuous-time CAPM, that does not rely on dynamic programming, and allows for ambiguous investment horizons." @default.
• W2926801913 created "2019-04-11" @default.
• W2926801913 creator A5036543091 @default.
• W2926801913 date "2019-09-01" @default.
• W2926801913 modified "2023-09-27" @default.
• W2926801913 title "Stocks for the log-run and constant relative risk aversion preferences" @default.
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• W2926801913 doi "https://doi.org/10.1016/j.ejor.2019.03.033" @default.
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