Dynamic Asset Allocation and Fixed Income Management
求解一个跨期投资问题，投资者具有幂效用函数，可在股票和债券中投资，并利用Vasicek期限结构模型，证明零息债券是对冲机会集变化的合适工具。
This paper provides the solution to an intertemporal investment problem. The investor has power utility and can invest in stocks and bonds in a complete market setting where the Vasicek term structure model applies. The paper demonstrates that the zero-coupon bond with maturity at the investment horizon is the appropriate instrument for hedging changes in the opportunity set. Implementation issues are discussed and it is shown how the intertemporal investment problem can be recast as a series of mean-variance problems in terms of drift and volatility of the wealth forward price. An application based on a quasi-dynamic programming approach is considered.