Strategic Asset Allocation: Portfolio Choice for Long‐Term Investors.

By Christian Schlag. 2003

499 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/aef8ae4a17213aaab5abaae43e4991ee960e52e8

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Citations in the corpus

Valuation Ratios and the Long-Run Stock Market Outlook: An Update (2001, unknown): “…level either the numerator or the denominator of the ratio must move in a direction that restores 3 Over this interval we have also published related papers, Campbell (1999) and Shiller (1999), and have written two books, Campbell and Viceira (2001) and Shiller (2000), that expand on our views.”
Asset Price and Wealth Dynamics in a Financial Market with Heterogeneous Agents (2006, background): “The starting point is Chiarella et al. (2002), whose antecedents are Chiarella (1992), Beja and Goldman (1980), 4Related papers that investigate non-stationary heterogeneous agents models with growing dividends given by a geometric random walk, are Brock and Hommes (1997b) and Hommes (2002).”
Handbook of Consumer Finance Research (2008, background): “These include optimal asset allocation given a range of time horizons and risk tolerance (Campbell & Viceira, 2002 ), and how household portfolios should be tailored when income is uncertain, when borrowing constraints exist, and when most of a household’s wealth is in housing (Cocco, 2005 ; Guiso,…”
Estimation Error and Portfolio Optimization: A Resampling Solution (2007, methodology): “Examples include the Black and Litterman (1992) procedure, Grinold (1989) formula, Grinold and Kahn (1994, Ch. 6) principles, Clarke et al (2002, 2006) rationale, Campbell and Viceira (2002) utility, and Knight and Satchell (2006) analysis.”
Utility indifference pricing : an overview (2009, background): “In particular, there is a large finance literature on the effect of labour income on asset allocation decisions, see the text of Campbell and Viceira [6].”
Approximating the numéraire portfolio by naive diversification (2010, background): “The resulting Markowitz mean-variance approach to investing has been generalized in many ways; see Campbell and Viceira (2002) for a survey.”
An Empirical Portfolio Perspective on Option Pricing Anomalies (2007, background): “…the past decade and has considered a variety of extensions of existing asset allocation models, such as the analysis of alternative preferences, different asset classes, frictions, stochastic labor income, return predictability, learning, etc. (see e.g., Campbell and Viceira (2002) for a survey).”
The Log-Linear Return Approximation, Bubbles, and Predictability (2012, background): “…in empirical financial research on stock return predictability, tests of present value models, return variance decompositions, and discrete-time dynamic asset allocation (see e.g., the textbook treatments in Campbell, Lo, and MacKinlay (1997), Campbell and Viceira (2002), and Cochrane (2005)).”