Dynamic Asset Allocation under Inflation

By Michael J. Brennan, Yihong Xia. 2002

243 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/934f4396257adf6698a6a35f9458ce6601de4aa9

Citations in the corpus

• Optimal reinsurance and investment strategies for insurer under interest rate and inflation risks (2014, unknown): “Brennan and Xia[8](2002) considered dynamic asset allocation under inflation when only nominal assets were available.”
• Does the Failure of the Expectations Hypothesis Matter for Long-Term Investors (2005, unknown): “The question is, are they economically significant?”
• Estimation and Test of a Simple Model of Intertemporal Capital Asset Pricing (2003, unknown): “In estimating a version of the model that has a constant value of η Brennan and Xia (2002) find that the standard errors of the estimated bond yields decline with maturity out to 5 years.”
• Dynamic asset allocation with stochastic income and interest rates. (2010, unknown): “Brennan and Xia (2002) and Munk, Sørensen, and Vinther (2004) study how real interest rate risk affects optimal investments when the traded bonds are nominal.”
• Correlation Risk and Optimal Portfolio Choice (2010, unknown): “Examples include Brennan and Xia (2002), who study optimal asset allocations under inflation risk, and Sangvinatsos and Wachter (2005), who investigate the portfolio problem of a long-run investor with both nominal bonds and stocks.”
• Inflation Uncertainty, Asset Valuations, and the Credit Spreads Puzzle (2008, unknown): “9Using related but different empirical methodologies from ours, Geske and Roll (1983) and more recently Brennan and Xia (2002) both find a positive relationship.”
• Strategic asset allocation with liabilities: beyond stocks and bonds (2008, unknown): “Brennan and Xia (2002), Lioui and Poncet (2001), BajeuxBesnainou et al. (2003), Barberis (2000), Wachter (2002), Campbell et al. (2004), Campbell et al. (2003) are a few examples of studies that consider the long-term investor problem in different settings using variations in preferences and return ”
• Optimal Consumption and Investment Strategies with Stochastic Interest Rates (2004, unknown): “Both Campbell and Viceira (2001) and Brennan and Xia (2002) study consumption and portfolio choice problems in settings with uncertain inflation, where real interest rates follow a one-factor Vasicek model.”
• What Ties Return Volatilities to Price Valuations and Fundamentals? (2013, unknown): “1 For instance, both the habit formation model of Campbell and Cochrane (1999) [see Figures 3 and 5] and the long-run risk model of Bansal and Yaron (2004) [see Section II.”
• Portfolio and Consumption Decisions under Mean-Reverting Returns: An Exact Solution for Complete Markets (2002, unknown): “For example, Campbell and Shiller (1988) and Fama and French (1989) demonstrate that the dividend-price ratio predicts excess returns on the market. There is related evidence that stock returns exhibit mean reversion. Poterba and Summers (1988) demonstrate that the variance of stock returns is reduc”
• Portfolios and risk premia for the long run. (2012, unknown): “Lagnado (1997), Wachter (2002), Brennan and Xia (2002) , Sangvinatsos and Wachter (2005).”
• Parameter Learning in General Equilibrium: The Asset Pricing Implications (2016, unknown): “In the learning case, the two shocks are perfectly positively correlated (see Equations (10) and (11)).”
• Optimal Portfolio Selection with Life Insurance Under Inflation Risk (2014, unknown): “Dynamic asset allocation problems including stochastic interest rate and indexed bonds are investigated by Campbell and Viceira (2001), Brennan and Xia (2002), Munk et al. (2004) and Han and Hung (2012).”
• Understanding Inflation-Indexed Bond Markets (2009, unknown): “The basic case for in ation-indexed bonds, stated by Campbell and Shiller (1996) and further developed by Brennan and Xia (2002), Campbell and Viceira (2001, 2002), Campbell, Chan, and Viceira (2003), and Wachter (2003), is that these bonds are the safe asset for long-term investors.”