Dynamic asset allocation under mean-reverting returns, stochastic interest rates, and inflation uncertainty: Are popular recommendations consistens with rational behavior?

Claus Munk, Carsten Sørensen, Tina Nygaard

Research output: Contribution to journalJournal articleResearchpeer-review

Original languageEnglish
JournalInternational Review of Economics & Finance
Volume13
Issue number2
Pages (from-to)141-166
ISSN1059-0560
Publication statusPublished - 2004

Cite this

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title = "Dynamic asset allocation under mean-reverting returns, stochastic interest rates, and inflation uncertainty: Are popular recommendations consistens with rational behavior?",
keywords = "Portef{\o}ljeteori, Inflation, Investeringsr{\aa}dgivning, Asset allocation",
author = "Claus Munk and Carsten S{\o}rensen and Tina Nygaard",
year = "2004",
language = "English",
volume = "13",
pages = "141--166",
journal = "International Review of Economics & Finance",
issn = "1059-0560",
publisher = "Elsevier",
number = "2",

}

Dynamic asset allocation under mean-reverting returns, stochastic interest rates, and inflation uncertainty : Are popular recommendations consistens with rational behavior? / Munk, Claus; Sørensen, Carsten; Nygaard, Tina.

In: International Review of Economics & Finance, Vol. 13, No. 2, 2004, p. 141-166.

Research output: Contribution to journalJournal articleResearchpeer-review

TY - JOUR

T1 - Dynamic asset allocation under mean-reverting returns, stochastic interest rates, and inflation uncertainty

T2 - Are popular recommendations consistens with rational behavior?

AU - Munk, Claus

AU - Sørensen, Carsten

AU - Nygaard, Tina

PY - 2004

Y1 - 2004

KW - Porteføljeteori

KW - Inflation

KW - Investeringsrådgivning

KW - Asset allocation

M3 - Journal article

VL - 13

SP - 141

EP - 166

JO - International Review of Economics & Finance

JF - International Review of Economics & Finance

SN - 1059-0560

IS - 2

ER -