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Ambiguity, Risk, and Asset Returns in Continuous Time

✍ Scribed by Zengjing Chen; Larry Epstein


Book ID
108556148
Publisher
John Wiley and Sons
Year
2002
Tongue
English
Weight
267 KB
Volume
70
Category
Article
ISSN
0012-9682

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✍ Phelim P. Boyle; Hailiang Yang πŸ“‚ Article πŸ“… 1997 πŸ› Elsevier Science 🌐 English βš– 964 KB

This paper analyzes the consumption investment problem of a risk averse investor in continuous time when there are several asset classes. The classic paper in this area is due to Merton who solved the problem when the returns were assumed to be stationary. We assume that there is time variation in t