Essays in asset pricing and portfolio choice

Essays in asset pricing and portfolio choice

In the first essay, I decompose inflation risk into (i) a part that is correlated with real returns on the market portfolio and factors that determine investor’s preferences and investment opportunities and (ii) a residual part. I show that only the first part earns a risk premium. All nominal Treasury...

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Bibliographic Details
Main Author: Illeditsch, Philipp Karl
Other Authors: Back, Kerry
Format: Others
Language:en_US
Published: 2010
Subjects:
Dynamic Asset Allocation
Dynamic Portfolio Choice
Inflation
Idiosyncratic Inflation Risk
Inflation-Protected Bonds
Inflation-Indexed Bonds
Nominal Term Structure
Asset Pricing
Heterogeneous Preferences
External Habit
Online Access:http://hdl.handle.net/1969.1/ETD-TAMU-1508
http://hdl.handle.net/1969.1/ETD-TAMU-1508

Internet

http://hdl.handle.net/1969.1/ETD-TAMU-1508
http://hdl.handle.net/1969.1/ETD-TAMU-1508

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