Consumption and Portfolio Choice with Option-Implied State Prices
收藏NBER2008-03-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w13854
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资源简介：
We propose an empirical implementation of the consumption-investment problem using the martingale representation alternative to dynamic programming. Our method is based on the direct observation of state prices from options data. This greatly simplifies the investor's task of specifying the
提供机构：
美国国家经济研究局
创建时间：
2008-03-01
