Strategic asset allocation in a continuous-time VAR model

Journal of Economic Dynamics and Control

Volumn 28, Issue 11, 2004, Pages 2195-2214

  Campbell, Joy Y ^a   Chacko, George ^a   Rodriguez, Jorge ^b   Viceira, Luis M ^a,c  

^a HARVARD UNIVERSITY   (United States)

^b MASSACHUSETTS INSTITUTE OF TECHNOLOGY   (United States)

^c HARVARD BUSINESS SCHOOL   (United States)

Author keywords

Intertemporal hedging; Long term investing; Portfolio choice; Recursive utility; Time aggregation

Indexed keywords

EID: 4043172929     PISSN: 01651889     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jedc.2003.09.005     Document Type: Article

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