G2TT
来源类型Discussion paper
规范类型论文
来源IDDP4148
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
URLhttps://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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