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dc.contributor.authorCampbell, John
dc.contributor.authorViceira, Luis
dc.date.accessioned2009-07-10T13:12:29Z
dc.date.issued1999
dc.identifier.citationCampbell, John Y., and Luis M. Viceira. 1999. Consumption and portfolio decisions when expected returns are time varying. Quarterly Journal of Economics 114(2): 433-495.en
dc.identifier.issn0033-5533en
dc.identifier.urihttp://nrs.harvard.edu/urn-3:HUL.InstRepos:3163266
dc.description.abstractThis paper presents an approximate analytical solution to the optimal consumption and portfolio choice problem of an infinitely lived investor with Epstein-Zin-Weil utility who faces a constant riskless interest rate and a time-varying equity premium. When the model is calibrated to U. S. stock market data, it implies that intertemporal hedging motives greatly increase, and may even double, the average demand for stocks by investors whose risk-aversion coefficients exceed one. The optimal portfolio policy also involves timing the stock market. Failure to time or to hedge can cause large welfare losses relative to the optimal policy.en
dc.description.sponsorshipEconomicsen
dc.language.isoen_USen
dc.publisherMIT Pressen
dc.relation.isversionofhttp://dx.doi.org/10.1162/003355399556043en
dash.licenseLAA
dc.titleConsumption and Portfolio Decisions When Expected Returns are Time Varyingen
dc.relation.journalQuarterly Journal of Economicsen
dash.depositing.authorCampbell, John
dc.identifier.doi10.1162/003355399556043*
dash.contributor.affiliatedCampbell, John
dash.contributor.affiliatedViceira, Luis


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