Campbell, JohnChacko, GeorgeRodriguez, JorgeViceira, Luis2009-09-182004Campbell, 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: 2195-2214.0165-1889http://nrs.harvard.edu/urn-3:HUL.InstRepos:3294738This 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.en-USrecursive utilitylong-term investingintertemporal hedgingtime aggregationportfolio choiceJournal Article2009-09-1810.1016/j.jedc.2003.09.005