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This note derives an approximate solution to a continuous-time intertemporal portfolio and consumption choice problem. The problem is the continuous-time equivalent of the discrete-time problem studied by Campbell and Viceira (1999), in which the expected excess return on a risky asset follows...
Persistent link: https://www.econbiz.de/10005050015
Persistent link: https://www.econbiz.de/10005205191
This Paper derives an approximate solution to a continuous-time intertemporal portfolio and consumption choice problem. The problem is the continuous-time equivalent of the discrete-time problem studied by Campbell and Viceira (1999), in which the expected excess return on a risky asset follows...
Persistent link: https://www.econbiz.de/10005662354
This paper derives an approximate solution to a continuous-time intertemporal portfolio and consumption choice problem. The problem is the continuous-time equivalent of the discrete-time problem studied by Campbell and Viceira (Q. J. Econ. 114 (1999) 433) in which the expected excess return on a...
Persistent link: https://www.econbiz.de/10010550069
In the last few decades, SMEs have become increasingly active in international markets. SMEs do not necessarily follow a pattern of incremental internationalisation as they have a wide range of options and many are opportunistic. A large postal survey was conducted in five countries—the UK,...
Persistent link: https://www.econbiz.de/10009189153
Persistent link: https://www.econbiz.de/10005376710
We present a new measure of liquidity known as "latent liquidity" and apply it to a unique corporate bond database. Latent liquidity is defined as the weighted average turnover of investors who hold a bond, in which the weights are the fractional investor holdings. It can be used to measure...
Persistent link: https://www.econbiz.de/10005376969
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...
Persistent link: https://www.econbiz.de/10005085057
This paper examines the optimal consumption and portfolio choice problem of long-horizon investors who have access to a riskless asset with constant return and a risky asset (‘stocks’) with constant expected return and time varying precision – the reciprocal of volatility. Markets are...
Persistent link: https://www.econbiz.de/10005661568
This paper examines the optimal consumption and portfolio-choice problem of long-horizon investors who have access to a riskless asset with constant return and a risky asset ("stocks") with constant expected return and time-varying precision--the reciprocal of volatility. Markets are incomplete,...
Persistent link: https://www.econbiz.de/10005577911