Show simple item record

dc.contributor.advisorBack, Kerry
dc.creatorIlleditsch, Philipp Karl
dc.date.accessioned2010-01-15T00:01:15Z
dc.date.accessioned2010-01-16T01:51:37Z
dc.date.available2010-01-15T00:01:15Z
dc.date.available2010-01-16T01:51:37Z
dc.date.created2007-08
dc.date.issued2009-05-15
dc.identifier.urihttp://hdl.handle.net/1969.1/ETD-TAMU-1508
dc.description.abstractIn the first essay, I decompose inflation risk into (i) a part that is correlated with real returns on the market portfolio and factors that determine investor’s preferences and investment opportunities and (ii) a residual part. I show that only the first part earns a risk premium. All nominal Treasury bonds, including the nominal money-market account, are equally exposed to the residual part except inflation-protected Treasury bonds, which provide a means to hedge it. Every investor should put 100% of his wealth in the market portfolio and inflation-protected Treasury bonds and hold a zero-investment portfolio of nominal Treasury bonds and the nominal money market account. In the second essay, I solve the dynamic asset allocation problem of finite lived, constant relative risk averse investors who face inflation risk and can invest in cash, nominal bonds, equity, and inflation-protected bonds when the investment opportunityset is determined by the expected inflation rate. I estimate the model with nominal bond, inflation, and stock market data and show that if expected inflation increases, then investors should substitute inflation-protected bonds for stocks and they should borrow cash to buy long-term nominal bonds. In the lastessay, I discuss how heterogeneity in preferences among investors withexternal non-addictive habit forming preferences affects the equilibrium nominal term structure of interest rates in a pure continuous time exchange economy and complete securities markets. Aggregate real consumption growth and inflation are exogenously specified and contain stochastic components thataffect their means andvolatilities. There are two classes of investors who have external habit forming preferences and different localcurvatures oftheir utility functions. The effects of time varying risk aversion and different inflation regimes on the nominal short rate and the nominal market price of risk are explored, and simple formulas for nominal bonds, real bonds, and inflation risk premia that can be numerically evaluated using Monte Carlo simulation techniques are provided.en
dc.format.mediumelectronicen
dc.format.mimetypeapplication/pdf
dc.language.isoen_US
dc.subjectDynamic Asset Allocationen
dc.subjectDynamic Portfolio Choiceen
dc.subjectInflationen
dc.subjectIdiosyncratic Inflation Risken
dc.subjectInflation-Protected Bondsen
dc.subjectInflation-Indexed Bondsen
dc.subjectNominal Term Structureen
dc.subjectAsset Pricingen
dc.subjectHeterogeneous Preferencesen
dc.subjectExternal Habiten
dc.titleEssays in asset pricing and portfolio choiceen
dc.typeBooken
dc.typeThesisen
thesis.degree.departmentFinanceen
thesis.degree.disciplineFinanceen
thesis.degree.grantorTexas A&M Universityen
thesis.degree.nameDoctor of Philosophyen
thesis.degree.levelDoctoralen
dc.contributor.committeeMemberDeBlassie, Dante
dc.contributor.committeeMemberGallmeyer, Michael
dc.contributor.committeeMemberLivdan, Dmitry
dc.type.genreElectronic Dissertationen
dc.type.materialtexten
dc.format.digitalOriginborn digitalen


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record