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
✦ LIBER ✦
Economic activity and time variation in expected futures returns
✍ Scribed by Joëlle Miffre
- Book ID
- 117332076
- Publisher
- Elsevier Science
- Year
- 2001
- Tongue
- English
- Weight
- 44 KB
- Volume
- 73
- Category
- Article
- ISSN
- 0165-1765
No coin nor oath required. For personal study only.
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