ICAR Research Data Repository for Knowledge Management
Replication data for: A Multivariate Model of Strategic Asset Allocation
Harvard Dataverse (Africa Rice Center, Bioversity International, CCAFS, CIAT, IFPRI, IRRI and WorldFish)
View Archive Info| Field | Value | |
| Title |
Replication data for: A Multivariate Model of Strategic Asset Allocation
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| Identifier |
https://doi.org/10.7910/DVN/8ED29S
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| Creator |
John Y. Campbell
Yeung L. Chan and Luis Viceira |
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| Publisher |
Harvard Dataverse
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| Description |
We develop an approximate solution method for the optimal consumption and portfolio choice problem of an infinitely long-lived investor with Epstein-Zin utility who faces a set of asset returns described by a vector autoregression in returns and state variables. Empirical estimates in long-run annual and post-war quarterly U.S. data suggest that the predictability of stock returns greatly increases the optimal demand for stocks. The role of nominal bonds in long-term portfolios depends on the importance of real interest rate risk relative to other sources of risk. Long-term inflation-indexed bonds greatly increase the utility of conservative investors.
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| Subject |
Intertemporal hedging demand
Portfolio choice Predictability Strategic asset allocation |
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| Date |
2003
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