Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets
收藏NBER1999-10-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w7377
下载链接
链接失效反馈官方服务：
资源简介：
This paper analyzes optimal portfolio choice and consumption with stochastic volatility in incomplete markets. Using the Duffie-Epstein (1992) formulation of recursive utility in continuous time, it shows that the optimal portfolio demand for stocks under stochastic volatility varies strongly with
提供机构：
美国国家经济研究局
创建时间：
1999-10-01
