INTEREST RATE-SENSITIVE ASSET ALLOCATION

被引：1

作者：

LEIBOWITZ, ML

KOGELMAN, S

BADER, LN

DRAVID, AR

机构：

来源：

JOURNAL OF PORTFOLIO MANAGEMENT | 1994年 / 20卷 / 03期

关键词：

D O I：

10.3905/jpm.1994.8

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

When interest rates change, total return expectations for a balanced portfolio will change in the same direction, assuming equity risk premiums, correlations between stocks and bonds, and equity volatility remain the same. This means that falling interest rates will mandate lower equity ratios, and vice versa, if investors must continue to meet the same level of shortfall risk.

引用

页码：8 / 18

页数：11

共 50 条

[1] A COMPARISON OF FORWARD AND FUTURES PRICES OF AN INTEREST RATE-SENSITIVE FINANCIAL ASSET
MEULBROEK, L
JOURNAL OF FINANCE, 1992, 47 (01): : 381 - 396
[2] Should the Interest Rate Level Influence Asset Allocation?
Garvey, Gerald
Saxena, Konark
JOURNAL OF INVESTING, 2018, 27 (02): : 116 - 125
[3] EXTRUSION OF RATE-SENSITIVE MATERIALS
CHANDRA, T
KUON, L
JONAS, JJ
CANADIAN MINING AND METALLURGICAL BULLETIN, 1971, 64 (712): : 30 - &
[4] Asset allocation under stochastic interest rate with regime switching
Shen, Yang
Siu, Tak Kuen
ECONOMIC MODELLING, 2012, 29 (04) : 1126 - 1136
[5] On rate-sensitive behaviour of anisotropic soils
Pietruszczak, S
Stolle, DFE
NUMERICAL MODELS IN GEOMECHANICS - NUMOG VII, 1999, : 27 - 32
[6] Optimal asset allocation under search frictions and stochastic interest rate
Wang, Ning
Zhu, Song-Ping
Elliott, Robert J.
QUANTITATIVE FINANCE, 2023, 23 (06) : 1019 - 1033
[7] Optimal asset allocation under search frictions and stochastic interest rate
Wang, Ning
Zhu, Song-Ping
Elliott, Robert J. J.
QUANTITATIVE FINANCE, 2021,
[8] DYNAMIC MEAN-VARIANCE ASSET ALLOCATION WITH STOCHASTIC INTEREST RATE AND INFLATION RATE
Yao, Haixiang
Li, Zhongfei
Lai, Yongzeng
JOURNAL OF INDUSTRIAL AND MANAGEMENT OPTIMIZATION, 2016, 12 (01) : 187 - 209
[9] Risk sensitive asset allocation
Bielecki, TR
Pliska, SR
Sherris, M
JOURNAL OF ECONOMIC DYNAMICS & CONTROL, 2000, 24 (08): : 1145 - 1177
[10] Evaluation of a rate-sensitive material model for concrete
Kang, HD
Willam, KJ
Xi, YP
STRUCTURAL ENGINEERING IN THE 21ST CENTURY, 1999, : 215 - 218

← 1 2 3 4 5 →