| Reference: | Alles, L. and Horton, D., 1999. An evaluation of alternative methods of forecasting Australian infation. The Australian Economic Review 32, 237-248.
Barbeirs, N., 2000. Investing for the long run when returns are predictable. Journal of Finance 55, 225-264.
Basel, M. A., Ahmad S. A. and Wafaa M. S., 2004. Modelling the CPI using a lognormal diffusion process and implications on forecasting inflation. Journal of Management Mathematics 15, 39-51.
Brennan, M. J. and Xia, Y. H., 2002. Dynamic asset allocation under inflation. Journal of Finance 57, 1201-1238.
Brennan, M. J. and Xia, Y. H., 2000. Stochastic interest rates and the bond-stock mix. European Financial Review 4, 197-210.
Brinson, G. P., Singer, B. D. and Beebower, G. L., 1991. Determinants of portfolio performance II: An update. Financial Analyst Journal, 40-48.
Cox, J. C. and Huang, C. F., 1989. Optimum consumption and portfolio policies when asset price follow a di¤usion process. Journal of Economic Theory 49, 33-83.
Cox, J. C., Ingersoll, J. E. and Ross, S. A., 1985. A theory of the term structure of interest rates. Econometrica 53, 385-408.
Campbell, J. Y. and Viceira, L. M., 2001. Who should buy long-term bonds? American Economic Review 91, 99-127.
Deelstra, G., Grasselli, M. and Koehl, P. F., 2000. Optimal investment strategies in a CIR framework. Journal of Applied Probability 37, 936-946.
Deelstra, G., Grasselli, M. and Koehl, P. F., 2003. Optimal investment strategies in the presence of a minimum guarantee. Insurance:Mathematics and Economics 33, 189-207.
Duffie, J. D. and Huang, C. F., 1985. Implementing Arrow-Debreu equilibria by continuous trading of few long-lived securities. Econometrica 53, 1337-1356.
Isabelle, B. B., James,V. J. and Roland P., 2003. Dynamic asset allocation for stocks, bonds and cash. Journal of Business 76, 263-287.
Karatzas, I., Lehoczky, J. P. and Shreve, S., 1987. Optimal portfolio and consumption decision for a ’small investor’on a finite horizon. SIAM. Journal on Control and Optimization 25, 1557-1586.
Latane, H. A. and Tuttle, D. L., 1967. Criteria for portfolio building. Journal of Finance 22, 359-373.
Lipster R. S. and Shiryayev A. N., 1978. Statistics of Random Process I: General Theory, Springer-Verlag, New York.
Lipster R. S. and Shiryayev A. N., 1978. Statistics of Random Process II: Applications, Springer-Verlag, New York.
Markowitz, H., 1959. Portfolio Selection: Efficient diversification of investment, John Wiley, New York.
Merton, R. C., 1969. Lifetime portfolio selection under uncertainty: The continuous-time case. Review of Economics and Statistics 51, 247–257.
Merton, R. C., 1971. Optimum consumption and portfolio rules in a continuous-time case. Journal of Economy Theory 3, 373-413.
Merton, R. C., 1973. An intertemporal capital asset pricing model. Econometrica 41, 867–887.
Merton, R. C., 1992. Continuous Time Finance. Blackwell, Oxford.
Mossin, J., 1968. Optimal multi-period portfolio policies. Journal of Business 41, 215-229.
Pliska, S., 1986. A stochastic calculus model of continuous trading: optimal portfolios. Mathematics of Operations Research 11, 371–382.
Samuelson, P. A., 1969. Lifetime portfolio selection by dynamic stochastic programming. Review of Economics and Statistics 51, 239-246.
Sorensen, C., 1999. Dynamic asset allocation and fixed income management. Journal of Financial and Quantitative Analysis 34, 513-531.
Vasicek, O., 1977. An equilibrium characterization of the term structure. Journal of Financial Economics 5, 177-188.
Xia, Y. H., 2001. Learning about predictability: the effects of parameter uncertainty on dynamic asset allocation. Journal of Finance 56, 205-246. |
