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

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

Department of Finance

Research output: Contribution to journal › Journal article › Research › peer-review

Original language	English
Journal	International Review of Economics & Finance
Volume	13
Issue number	2
Pages (from-to)	141-166
ISSN	1059-0560
Publication status	Published - 2004

Access to Document

http://dx.doi.org/10.1016/j.iref.2003.08.001

Cite this

@article{66e355b0c02111db9769000ea68e967b,

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 journal › Journal article › Research › peer-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 -