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Time-Variation in Expected Returns

✍ Scribed by Jennifer Conrad and Gautam Kaul


Book ID
124683491
Publisher
University of Chicago Press
Year
1988
Tongue
English
Weight
340 KB
Volume
61
Category
Article
ISSN
0021-9398

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Asset allocation with time variation in
✍ 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