Asset Allocation Techniques in Static and Dynamic Settings

This session will focus on asset allocation techniques for static and dynamic portfolio management. The applications of interest for this session include

Predictability and time-varying second moments
Learning
Ttransaction costs
Optimal policies and "rules of thumb"
Derivatives in asset allocation
Human capital
International asset allocation
Life-cycle patterns

Possible techniques include but are not limited to discrete-time dymanic programming, continuous-time optimal control, Monte Carlo techniques, GMM and ML estimation ...

If you have a paper appropriate for this session, please send a hard copy by US mail, or a two page abstract before January 15, 1999 to the following address.

Pierluigi Balduzzi
Carroll School of Management
Finance Dept., Fulton Hall 330
Boston College
Chestnut Hill, MA 02467 USA

Feel free to address questions on this session to Pierluigi Balduzzi.