Strategic Asset Allocation in a Continuous-Time VAR Model
收藏NBER2003-03-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w9547
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资源简介：
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
提供机构：
美国国家经济研究局
创建时间：
2003-03-01
