A Mean-Variance Benchmark for Intertemporal Portfolio Theory

被引：38

作者：

Cochrane, John H. ^{[1
,2
,3
,4
]}

机构：

[1] Univ Chicago, Booth Sch Business, Chicago, IL 60637 USA

[2] Natl Bur Econ Res, Cambridge, MA 02138 USA

[3] Hoover Inst War Revolut & Peace, Stanford, CA USA

[4] Cato Inst, Washington, DC 20001 USA

来源：

JOURNAL OF FINANCE | 2014年 / 69卷 / 01期

关键词：

LONG-TERM BONDS; OPTIMAL CONSUMPTION; ASSET ALLOCATION; LIFE-CYCLE; INCOMPLETE MARKETS; EXPECTED RETURNS; NONTRADED ASSETS; CROSS-SECTION; LABOR INCOME; CHOICE;

D O I：

10.1111/jofi.12099

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Mean-variance portfolio theory can apply to streams of payoffs such as dividends following an initial investment. This description is useful when returns are not independent over time and investors have nonmarketed income. Investors hedge their outside income streams. Then, their optimal payoff is split between an indexed perpetuitythe risk-free payoffand a long-run mean-variance efficient payoff. 'Long-run' moments sum over time as well as states of nature. In equilibrium, long-run expected returns vary with long-run market betas and outside-income betas. State-variable hedges do not appear.

引用

页码：1 / 49

页数：49

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