| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP4148 |
| DP4148 Multinational Bank Regulation with Deposit Insurance and Diversification Effects | |
| Alan Morrison; Gyöngyi Lóránth | |
| 发表日期 | 2003-12-23 |
| 出版年 | 2003 |
| 语种 | 英语 |
| 摘要 | 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 (1999), 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. |
| 主题 | Financial Economics |
| 关键词 | Portfolio choice Time aggregation Intertemporal hedging Long-term investing Recursive utility |
| URL | https://cepr.org/publications/dp4148 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/533119 |
| 推荐引用方式 GB/T 7714 | Alan Morrison,Gyöngyi Lóránth. DP4148 Multinational Bank Regulation with Deposit Insurance and Diversification Effects. 2003. |
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