<oai_dc:dc xmlns:dc="http://purl.org/dc/elements/1.1/" xmlns:oai_dc="http://www.openarchives.org/OAI/2.0/oai_dc/" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xsi:schemaLocation="http://www.openarchives.org/OAI/2.0/oai_dc/ http://www.openarchives.org/OAI/2.0/oai_dc.xsd">
  <dc:contributor>Trojani, Fabio</dc:contributor>
  <dc:creator>Leirvik, Thomas</dc:creator>
  <dc:date>2014-02-17</dc:date>
  <dc:description xmlns:ns0="xml" ns0:lang="en">This thesis consists of two chapters. In the first chapter, I analyze the  optimal allocation of wealth to cash, bonds, and stocks when the  interest rate is stochastic and the stock index has a time-varying mean. I  find that, under certain economic conditions, the investor may optimally  increase investments in stocks and bonds at the same time, which is  due to the dynamic trading policies and the correlation between the  asset classes. I also find that in different economic regimes, short-term  investors have very different investment policies than long-term  investors. Thus, dynamic asset allocation with nonzero bond-stock  correlation helps explain why, during extreme market conditions such as  the recent financial crisis, some investors sold all types of assets short,  whereas other investors considered it an unprecedented buying  opportunity. In the second chapter, I study the impact of time-varying  bid-ask spreads in the optimal portfolio allocation. Relying on transaction- level data for a broad panel of bonds from 2004 through 2012, I find that  the estimated bid-ask spread of bonds are highly time-varying and  mean-reverting. The spread estimator peaks in 2008 during the credit  market crisis and has a substantial volatility in 2011 and 2012 during the  sovereign debt crisis. I further show that the hedge demand for liquidity  risk for finite horizon investors may be as much as 50 percent larger  than the demand for hedging interest rate risk.</dc:description>
  <dc:format>application/pdf</dc:format>
  <dc:identifier>https://n2t.net/ark:/12658/srd1318425</dc:identifier>
  <dc:identifier>https://susi.usi.ch/global/documents/318425</dc:identifier>
  <dc:identifier>https://susi.usi.ch/documents/318425/files/2014ECO003.pdf</dc:identifier>
  <dc:language>eng</dc:language>
  <dc:relation>info:eu-repo/semantics/altIdentifier/urn/urn:nbn:ch:rero-006-112769</dc:relation>
  <dc:relation>info:eu-repo/semantics/altIdentifier/ark/12658/srd1318425</dc:relation>
  <dc:rights>info:eu-repo/semantics/openAccess</dc:rights>
  <dc:rights>License undefined</dc:rights>
  <dc:subject xmlns:ns1="xml" ns1:lang="en">Asset allocation</dc:subject>
  <dc:subject xmlns:ns2="xml" ns2:lang="en">Stocks</dc:subject>
  <dc:subject xmlns:ns3="xml" ns3:lang="en">Bonds</dc:subject>
  <dc:subject xmlns:ns4="xml" ns4:lang="en">Hamilton-Jacobi-Bellmann</dc:subject>
  <dc:subject xmlns:ns5="xml" ns5:lang="en">Stochastic interest rates</dc:subject>
  <dc:subject xmlns:ns6="xml" ns6:lang="en">Optimal portfolio</dc:subject>
  <dc:subject xmlns:ns7="xml" ns7:lang="en">Stochastic liquidity</dc:subject>
  <dc:subject xmlns:ns8="xml" ns8:lang="en">Finite horizon</dc:subject>
  <dc:subject>info:eu-repo/classification/udc/33</dc:subject>
  <dc:title xmlns:ns9="xml" ns9:lang="en">Essays in asset allocation</dc:title>
  <dc:type>http://purl.org/coar/resource_type/c_db06</dc:type>
</oai_dc:dc>