Strategic Asset Allocation in a Continuous-Time VAR Model

DSpace/Manakin Repository

Strategic Asset Allocation in a Continuous-Time VAR Model

Citable link to this page

. . . . . .

Title: Strategic Asset Allocation in a Continuous-Time VAR Model
Author: Viceira, Luis; Rodriguez, Jorge; Chacko, George; Campbell, John

Note: Order does not necessarily reflect citation order of authors.

Citation: Campbell, John Y., George Chacko, Jorge Rodriguez, and Luis M. Viceira. 2004. Strategic asset allocation in a continuous-time VAR model. Journal of Economic Dynamics and Control 28, no. 11: 2195-2214.
Full Text & Related Files:
Abstract: 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 (Q. J. Econ. 114 (1999) 433) 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.
Published Version: http://dx.doi.org/10.1016/j.jedc.2003.09.005
Terms of Use: This article is made available under the terms and conditions applicable to Other Posted Material, as set forth at http://nrs.harvard.edu/urn-3:HUL.InstRepos:dash.current.terms-of-use#LAA
Citable link to this page: http://nrs.harvard.edu/urn-3:HUL.InstRepos:3294738

Show full Dublin Core record

This item appears in the following Collection(s)

  • FAS Scholarly Articles [7501]
    Peer reviewed scholarly articles from the Faculty of Arts and Sciences of Harvard University
 
 

Search DASH


Advanced Search
 
 

Submitters