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Dynamic portfolio choice with deferred annuities

โœ Scribed by Wolfram Horneff; Raimond Maurer; Ralph Rogalla

Book ID
116615645
Publisher
Elsevier Science
Year
2010
Tongue
English
Weight
1024 KB
Volume
34
Category
Article
ISSN
0378-4266

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๐Ÿ“œ SIMILAR VOLUMES

Dynamic portfolio choice and asset prici
Dynamic portfolio choice and asset pricing with differential information
โœ Chunsheng Zhou ๐Ÿ“‚ Article ๐Ÿ“… 1998 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 207 KB

This paper presents a multi-asset intertemporal general equilibrium model of portfolio selection and asset pricing with differential information. A method of Sargent (1991) is used to resolve the 'infinite regress' problem in information extraction and to derive a rational expectations equilibrium.