Strategic asset allocation in a continuous-time VAR model

DOI10.1016/j.jedc.2003.09.005zbMath1202.91294MaRDI 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 utility; portfolio choice; time aggregation; intertemporal hedging; long-term investing

Mathematics Subject Classification ID

91G70: Statistical methods; risk measures

91G10: Portfolio theory

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Cites Work

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