| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w9547 |
| 来源ID | Working Paper 9547 |
| Strategic Asset Allocation in a Continuous-Time VAR Model | |
| John Y. Campbell; George Chacko; Jorge Rodriguez; Luis M. Viciera | |
| 发表日期 | 2003-03-10 |
| 出版年 | 2003 |
| 语种 | 英语 |
| 摘要 | This note 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 note also shows how to obtain continuous-time parameters that are consistent with discrete-time econometric estimates. The continuous-time solution is numerically close to 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 ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w9547 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/567169 |
| 推荐引用方式 GB/T 7714 | John Y. Campbell,George Chacko,Jorge Rodriguez,et al. Strategic Asset Allocation in a Continuous-Time VAR Model. 2003. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w9547.pdf（298KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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