Strategic Asset Allocation in a Continuous-Time VAR Model

John Campbell, George Chacko, Jorge Rodriguez and Luis M. Viciera
Authors registered in the RePEc Author Service: Luis M. Viceira ()

No 9547, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: This note derives an approximate solution to a continuous-time intertemporal portfolio and consumption choice problem. The problem is the continuous-time equivalent of the discrete-time problem studied by Campbell and Viceira (1999), in which the expected excess return on a risky asset follows an AR(1)process, while the riskless interest rate is constant. The note also shows how to obtain continuous-time parameters that are consistent with discrete-time econometric estimates. The continuous-time solution is numerically close to that of Campbell and Viceira and has the property that conservative long-term investors have a large positive intertemporal hedging demand for stocks.

JEL-codes: G12 (search for similar items in EconPapers)
Date: 2003-03
New Economics Papers: this item is included in nep-cfn
Note: EFG ME AP
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Published as Campbell, John Y. & Chacko, George & Rodriguez, Jorge & Viceira, Luis M., 2004. "Strategic asset allocation in a continuous-time VAR model," Journal of Economic Dynamics and Control, Elsevier, vol. 28(11), pages 2195-2214, October.

Downloads: (external link)
http://www.nber.org/papers/w9547.pdf (application/pdf)

Related works:
Journal Article: Strategic asset allocation in a continuous-time VAR model (2004)
Working Paper: Strategic Asset Allocation in a Continuous-Time VAR Model (2004)
Working Paper: Strategic Asset Allocation in a Continuous Time VAR Model (2003)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:nbr:nberwo:9547

Ordering information: This working paper can be ordered from
http://www.nber.org/papers/w9547

Access Statistics for this paper

More papers in NBER Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by ().