Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets
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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
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美国国家经济研究局创建时间：
1999-10-01
