Strategic asset allocation in a continuous-time VAR model Export

@article{citeulike:2806362, abstract = {This paper derives an approximate solution to a continuous-time intertemporal portfolio and consumption choice problem. The problem is the continuous-time equivalent of the discrete-time problem studied by Campbell and Viceira (Q. J. Econ. 114 (1999) 433) in which the expected excess return on a risky asset follows an AR(1) process, while the riskless interest rate is constant. The paper also shows how to obtain continuous-time parameters that are consistent with discrete-time econometric estimates. The continuous-time solution is the limit of that of Campbell and Viceira and has the property that conservative long-term investors have a large positive intertemporal hedging demand for stocks.}, author = {Campbell, John Y. and Chacko, George and Rodriguez, Jorge and Viceira, Luis M.}, citeulike-article-id = {2806362}, citeulike-linkout-0 = {http://dx.doi.org/10.1016/j.jedc.2003.09.005}, citeulike-linkout-1 = {http://www.sciencedirect.com/science/article/B6V85-4BN0JCF-4/1/ea9c0e768e9d5914f2c3180419555b9c}, doi = {10.1016/j.jedc.2003.09.005}, journal = {Journal of Economic Dynamics and Control}, keywords = {aggregation, choice, hedging, intertemporal, investing, long-term, portfolio, recursive, time, utility}, month = {October}, number = {11}, pages = {2195--2214}, posted-at = {2008-05-17 05:49:43}, priority = {4}, title = {Strategic asset allocation in a continuous-time VAR model}, url = {http://dx.doi.org/10.1016/j.jedc.2003.09.005}, volume = {28}, year = {2004} }

TY - JOUR ID - citeulike:2806362 L3 - citeulike-article-id:2806362 N2 - This paper derives an approximate solution to a continuous-time intertemporal portfolio and consumption choice problem. The problem is the continuous-time equivalent of the discrete-time problem studied by Campbell and Viceira (Q. J. Econ. 114 (1999) 433) in which the expected excess return on a risky asset follows an AR(1) process, while the riskless interest rate is constant. The paper also shows how to obtain continuous-time parameters that are consistent with discrete-time econometric estimates. The continuous-time solution is the limit of that of Campbell and Viceira and has the property that conservative long-term investors have a large positive intertemporal hedging demand for stocks. IS - 11 JF - Journal of Economic Dynamics and Control EP - 2214 TI - Strategic asset allocation in a continuous-time VAR model VL - 28 SP - 2195 KW - aggregation KW - choice KW - hedging KW - intertemporal KW - investing KW - long-term KW - portfolio KW - recursive KW - time KW - utility AU - Campbell, John AU - Chacko, George AU - Rodriguez, Jorge AU - Viceira, Luis PY - 2004/10// UR - http://dx.doi.org/10.1016/j.jedc.2003.09.005 ER -