Investment and Consumption in a Multi-period Framework

Bing Cheng and Howell Tong
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Bing Cheng: Chinese Academy of Science, China
Howell Tong: London School of Economics, UK

Chapter 4 in Asset Pricing:A Structural Theory and Its Applications, 2008, pp 57-69 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:Review of Merton's Asset Pricing ModelOptimal Decisions of Investment and ConsumptionMartingale approach to the asset pricing model without consumption habit constraintsMartingale approach to the asset pricing model with consumption habitOptimal Investment BehaviorConclusions

Keywords: Asset Pricing; Portfolio Valuation; Equity Premium Puzzle; Risk Sharing; Consumption; Dynamic Asset Allocation; Portfolio Insurance; International Investment (search for similar items in EconPapers)
Date: 2008
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