Asset allocation with time variation in
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Phelim P. Boyle; Hailiang Yang
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Article
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1997
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Elsevier Science
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English
β 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