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Title: An Empirical Analysis of U.S. Aggregate Portfolio Allocations
Authors: Normandin, Michel
St-Amour, Pascal
Keywords: Dynamic Hedging
Risk Aversion
Inter-temporal Substitution
Time-Varying Investment Opportunity Set
Issue Date: 2005-03
Series/Report no.: Cahiers du CIRPÉE;05-03
Abstract: This paper analyzes the important time variation in U.S. aggregate portfolio allocations. To do so, we first use flexible descriptions of preferences and investment opportunities to derive optimal decision rules that nest tactical, myopic, and strategic portfolio allocations. We then compare these rules to the data through formal statistical analysis. Our main results reveal that i) purely tactical and myopic investment behaviors are unambiguously rejected, ii) strategic portfolio allocations are strongly supported, and iii) the Fama-French factors best explain empirical portfolio shares.
URI: http://132.203.59.36/CIRPEE/cahierscirpee/2005/files/CIRPEE05-03.pdf
https://depot.erudit.org/id/002031dd
Appears in Collections:Cahiers de recherche du CIRPÉE

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