Browsing FAS Scholarly Articles by Keyword "intertemporal portfolio choice"

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    • Stock Market Mean Reversion and the Optimal Equity Allocation of a Long-Lived Investor 

      Campbell, John Y.; Cocco, Joao; Gomes, Francisco; Maenhout, Pascal J.; Viceira, Luis Manuel (Oxford University Press, 2001)
      This paper solves numerically the intertemporal consumption and portfolio choice problem of an infinitely-lived investor who faces a time-varying equity premium. The solutions we obtain are very similar to the approximate ...