Kapadia, Sujit (contributor) - 2005
problem reduces to the
single-period problem of:
min
t;xt
1
2
h
t T 2 + (xt x)2
i
subject to:
t T = [(xt x …) ! (Etfxt+1g x)]+ [1 !(1 )] Etf t+1g T + et
The full details of the solution to this problem are contained in Appendix B. Com … seminar participants at Oxford University and the Bank of England for help-
ful comments. Finally, I am grateful to the ESRC …