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Strategic Asset Allocation in a Continuous-Time VAR Model / John Y. Campbell, George Chacko, Jorge Rodriguez, Luis M. Viciera.
- Format:
- Book
- Author/Creator:
- Campbell, John Y.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w9547.
- NBER working paper series no. w9547
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2003.
- Summary:
- 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.
- Notes:
- Print version record
- March 2003.
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