Optimum consumption and portfolio rules in a continuous-time model☆
Citations
46 citations
46 citations
46 citations
Cites background from "Optimum consumption and portfolio r..."
...(41) As shown in Merton (1971), the optimal allocation to risky asset includes two components: a myopic component that is proportional to the mean excess return andan intertemporal hedging demand that is proportional to the covariance between the risky asset returnsand the state variables that…...
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...As shown in the seminal paper of Merton (1971), the optimal allocation to risky assets includes two components: a myopic component that is proportional to the mean excess return and an intertemporal hedging demand that is proportional to the covariance between the risky asset returns and the state variables that govern the stochastic investment opportunity, both scaled by the covariance matrix of the asset return....
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46 citations
Cites background from "Optimum consumption and portfolio r..."
...In our model, the investor adjusts the financial portfolio to compensate for nontradable risk exposures in human capital (Merton 1971; Bodie, Merton, and Samuelson 1992; Heaton and Lucas 1997; Jagannathan and Kocherlakota 1996; Campbell and Viceira 2002)....
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46 citations
References
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