Intertemporal portfolio allocation and hedging demand: an application to South Africa

Intertemporal portfolio allocation and hedging demand: an application to South Africa

This paper analyses the intertemporal hedging demand for stocks and bonds in South Africa, the United Kingdom and the United States. The analysis is done using an approximate solution method for the optimal consumption and wealth portfolio problem of an infinitely long-lived investor. Investors are...

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Bibliographic Details
Main Authors: Esti Van Wyk De Vries, Rangan Gupta, Reneé Van Eyden
Format: Article
Language:English
Published: Vilnius Gediminas Technical University 2014-10-01
Series:Journal of Business Economics and Management
Subjects:
intertemporal hedging demand
multi-period portfolio choice
return predictability
South Africa
portfolio allocation
financial markents
Online Access:https://journals.vgtu.lt/index.php/JBEM/article/view/3045

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