An Asset Allocation Puzzle

@article{citeulike:1571175, abstract = {This paper examines popular advice on portfolio allocation among cash, bonds, and stocks. It documents that this advice is inconsistent with the mutual-fund separation theorem, which states that all investors should hold the same composition of risky assets. In contrast to the theorem, popular advisors recommend that aggressive investors hold a lower ratio of bonds to stocks than conservative investors. The paper explores various possible explanations of this puzzle and finds them unsatisfactory.}, author = {Canner, Niko and Mankiw, Gregory N. and Weil, David N. }, citeulike-article-id = {1571175}, journal = {The American Economic Review}, keywords = {capm, emh, equity, finance}, number = {1}, pages = {181--191}, posted-at = {2007-08-17 08:04:02}, priority = {2}, title = {An Asset Allocation Puzzle}, url = {http://www.jstor.org/stable/2950861}, volume = {87}, year = {1997} }

TY - JOUR ID - citeulike:1571175 L3 - citeulike-article-id:1571175 TI - An Asset Allocation Puzzle JF - The American Economic Review VL - 87 IS - 1 SP - 181 EP - 191 N2 - This paper examines popular advice on portfolio allocation among cash, bonds, and stocks. It documents that this advice is inconsistent with the mutual-fund separation theorem, which states that all investors should hold the same composition of risky assets. In contrast to the theorem, popular advisors recommend that aggressive investors hold a lower ratio of bonds to stocks than conservative investors. The paper explores various possible explanations of this puzzle and finds them unsatisfactory. KW - capm KW - emh KW - equity KW - finance AU - Canner, Niko AU - Mankiw, Gregory AU - Weil, David PY - 1997/// UR - http://www.jstor.org/stable/2950861 ER -