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Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets

โœ Scribed by Chacko, George; Viceira, Luis M.

Book ID
121460666
Publisher
Oxford University Press
Year
2005
Tongue
English
Weight
343 KB
Volume
18
Category
Article
ISSN
0893-9454

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๐Ÿ“œ SIMILAR VOLUMES

Optimal portfolio-consumption choice und
Optimal portfolio-consumption choice under stochastic inflation with nominal and indexed bonds
โœ Ying-Yin Chou; Nan-Wei Han; Mao-Wei Hung ๐Ÿ“‚ Article ๐Ÿ“… 2011 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 286 KB

This research solves the intertemporal portfolio choice problems with and without interim consumption under stochastic inflation. We assume a oneโ€factor nominal interest rate and a oneโ€factor expected inflation rate, implying a twoโ€factor real interest rate in the economy. In contrast to other relat