Life-Cycle Consumption Plans and Portfolio Policies in a Heath-Jarrow-Morton Economy

Jonathan Treussard (jtreussa@bu.edu)

No WP2005-033, Boston University - Department of Economics - Working Papers Series from Boston University - Department of Economics

Abstract: This paper applies the methods of Detemple, Garcia, and Rindisbacher (2003, 2005) to derive optimal lifetime consumption-portfolio plans in an economy characterized by a N- factor Heath-Jarrow-Morton (1992) bond sector that is Markovian with respect to 3N state variables. The Detemple-Garcia-Rindisbacher methodology is reviewed and its .exibility is further demonstrated.

Pages: 34 pages
Date: 2005-09
New Economics Papers: this item is included in nep-bec
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Citations: View citations in EconPapers (2)

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