Refine my results

Essays in asset allocation

Leirvik, Thomas ; Trojani, Fabio (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2014 ; 2014ECO003.

This thesis consists of two chapters. In the first chapter, I analyze the optimal allocation of wealth to cash, bonds, and stocks when the interest rate is stochastic and the stock index has a time-varying mean. I find that, under certain economic conditions, the investor may optimally increase investments in stocks and bonds at the same time, which is due to the dynamic trading policies and...