Estimating a continuous time portfolio selection model: An application with UK data

Burak Saltoğlu

Empirical Economics, 2000, vol. 25, issue 1, 93-109

Abstract: An empirical assessment of a continuous time portfolio selection model is studied for the UK economy between 1970 and 1996. The estimates obtained from this study are both statistically significant and consistent with the model's predictions. The estimate of risk aversion parameter refers to low risk aversion which is consistent with the optimal risky asset holding parameter. Furthermore, the estimated parameters of the asset pricing relationship are also found to be consistent with the historical values of the stock prices.

Keywords: Continuous time portfolio selection; stochastic differential equations; moving block bootstrapping technique (search for similar items in EconPapers)
JEL-codes: C3 C5 G0 (search for similar items in EconPapers)
Date: 2000-02-14
Note: received: February 1998/final version received: March 1999
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