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Dynamic consumption and portfolio choice with stochastic volatility in incomplete markets
Chacko, George; Viceira, Luis M. - In: The review of financial studies 18 (2005) 4, pp. 1369-1402
Persistent link: https://www.econbiz.de/10003352847
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Portfolio optimization under partial information : computation of optimal portfolio strategies
Putschögl, Wolfgang - 2007
Persistent link: https://www.econbiz.de/10003838292
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Exchange rate volatility and domestic consumption : a multicountry analysis
Bahmani-Oskooee, Mohsen; Xi, Dan - In: Journal of post-Keynesian economics : JPKE 34 (2011/12) 2, pp. 319-330
Persistent link: https://www.econbiz.de/10009526655
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Dynamic consumption and portfolio choice with stochastic volatility in incomplete markets
Chacko, George; Viceira, Luis M. - 2005
Persistent link: https://www.econbiz.de/10002648034
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Dynamic consumption and portfolio choice with stochastic volatility in incomplete markets
Chacko, George; Viceira, Luis M. - 1999
Persistent link: https://www.econbiz.de/10001641813
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Dynamic consumption and portfolio choice with stochastic volatility in incomplete markets
Chacko, George; Viceira, Luis M. - 1999
Persistent link: https://www.econbiz.de/10001417317
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Inattentive consumers and exchange rate volatility
Ekinci, Mehmet Fatih - 2013
Persistent link: https://www.econbiz.de/10011400818
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Credit constraints, learning, and aggregate consumption volatility
Tortorice, Daniel L. - In: Macroeconomic dynamics 18 (2014) 2, pp. 338-368
Persistent link: https://www.econbiz.de/10010356873
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Keeping up with the Joneses and exchange rate volatility in a Redux model
Chang, Ming-Jen; Chang, Juin-jen; Shieh, Jhy-yuan - In: International review of economics & finance : IREF 29 (2014), pp. 569-584
Persistent link: https://www.econbiz.de/10010432297
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Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets
Chacko, George - 1999
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/10012471407