Strategic asset allocation in a continuous-time VAR model

DOI10.1016/j.jedc.2003.09.005zbMath1202.91294OpenAlexW3121952528MaRDI QIDQ953710

B. E. Eshmatov

Publication date: 6 November 2008

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: http://www.nber.org/papers/w9547.pdf

zbMATH Keywords

recursive utilityportfolio choicetime aggregationintertemporal hedginglong-term investing

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10)

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Cites Work

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• Optimum consumption and portfolio rules in a continuous-time model
• Stochastic Differential Utility
• Smart Money, Noise Trading and Stock Price Behaviour
• Consumption and Portfolio Decisions when Expected Returns are Time Varying
• Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework

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