| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w13854 |
| 来源ID | Working Paper 13854 |
| Consumption and Portfolio Choice with Option-Implied State Prices | |
| Yacine Aït-Sahalia; Michael W. Brandt | |
| 发表日期 | 2008-03-12 |
| 出版年 | 2008 |
| 语种 | 英语 |
| 摘要 | We propose an empirical implementation of the consumption-investment problem using the martingale representation alternative to dynamic programming. Our method is based on the direct observation of state prices from options data. This greatly simplifies the investor's task of specifying the investment opportunity set and inherits the computational convenience of the martingale representation. Our method also makes explicit the economic trade-off between exploiting differences in state prices and probabilities, which generate variation in consumption, and the consumption smoothing induced by risk aversion. Using options-implied information, we find quantitatively different optimal consumption and portfolio policies than those implied by standard return dynamics. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w13854 |
| 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/571528 |
| 推荐引用方式 GB/T 7714 | Yacine Aït-Sahalia,Michael W. Brandt. Consumption and Portfolio Choice with Option-Implied State Prices. 2008. |
| 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 | ||
| w13854.pdf（750KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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