Optimal Age-Based Portfolios with Stochastic Investment Opportunity Sets
Author
Abstract
Suggested Citation
Download full text from publisher
To our knowledge, this item is not available for download. To find whether it is available, there are three options:1. Check below whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
References listed on IDEAS
- George Chacko & Luis M. Viceira, 2005.
"Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets,"
The Review of Financial Studies, Society for Financial Studies, vol. 18(4), pages 1369-1402.
- George Chacko & Luis M. Viceira, 1999. "Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets," NBER Working Papers 7377, National Bureau of Economic Research, Inc.
- Viceira, Luis & Chacko, George, 2005. "Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets," CEPR Discussion Papers 4913, C.E.P.R. Discussion Papers.
- George CHACKO & Luis M. VICEIRA, 1999. "Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets," FAME Research Paper Series rp11, International Center for Financial Asset Management and Engineering.
- Jérôme B. Detemple & Ren Garcia & Marcel Rindisbacher, 2003.
"A Monte Carlo Method for Optimal Portfolios,"
Journal of Finance, American Finance Association, vol. 58(1), pages 401-446, February.
- Jérôme Detemple & René Garcia & Marcel Rindisbacher, 2000. "A Monte-Carlo Method for Optimal Portfolios," CIRANO Working Papers 2000s-05, CIRANO.
- Merton, Robert C., 1971.
"Optimum consumption and portfolio rules in a continuous-time model,"
Journal of Economic Theory, Elsevier, vol. 3(4), pages 373-413, December.
- R. C. Merton, 1970. "Optimum Consumption and Portfolio Rules in a Continuous-time Model," Working papers 58, Massachusetts Institute of Technology (MIT), Department of Economics.
- Merton, Robert C, 1973. "An Intertemporal Capital Asset Pricing Model," Econometrica, Econometric Society, vol. 41(5), pages 867-887, September.
- MacKinlay, A. Craig, 1995. "Multifactor models do not explain deviations from the CAPM," Journal of Financial Economics, Elsevier, vol. 38(1), pages 3-28, May.
- Jonathan Treussard, 2005. "Life-Cycle Consumption Plans and Portfolio Policies in a Heath-Jarrow-Morton Economy," Boston University - Department of Economics - Working Papers Series WP2005-033, Boston University - Department of Economics.
- Cox, John C. & Huang, Chi-fu, 1989. "Optimal consumption and portfolio policies when asset prices follow a diffusion process," Journal of Economic Theory, Elsevier, vol. 49(1), pages 33-83, October.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Michael W. Brandt & Amit Goyal & Pedro Santa-Clara & Jonathan R. Stroud, 2005.
"A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability,"
The Review of Financial Studies, Society for Financial Studies, vol. 18(3), pages 831-873.
- Michael W. Brandt & Amit Goyal & Pedro Santa-Clara & Jonathan Storud, 2004. "A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability," NBER Working Papers 10934, National Bureau of Economic Research, Inc.
- Suresh M. Sundaresan, 2000. "Continuous‐Time Methods in Finance: A Review and an Assessment," Journal of Finance, American Finance Association, vol. 55(4), pages 1569-1622, August.
- Bilel Jarraya & Abdelfettah Bouri, 2013.
"A Theoretical Assessment on Optimal Asset Allocations in Insurance Industry,"
International Journal of Finance & Banking Studies, Center for the Strategic Studies in Business and Finance, vol. 2(4), pages 30-44, October.
- Jarraya, Bilel & Bouri, Abdelfettah, 2013. "A Theoretical Assessment on Optimal Asset Allocations in Insurance Industry," MPRA Paper 53534, University Library of Munich, Germany, revised 2013.
- Chenxu Li & Olivier Scaillet & Yiwen Shen, 2020. "Wealth Effect on Portfolio Allocation in Incomplete Markets," Papers 2004.10096, arXiv.org, revised Aug 2021.
- Penaranda, Francisco, 2007. "Portfolio choice beyond the traditional approach," LSE Research Online Documents on Economics 24481, London School of Economics and Political Science, LSE Library.
- Jessica A. Wachter, 2010.
"Asset Allocation,"
Annual Review of Financial Economics, Annual Reviews, vol. 2(1), pages 175-206, December.
- Jessica Wachter, 2010. "Asset Allocation," NBER Working Papers 16255, National Bureau of Economic Research, Inc.
- Escobar, Marcos & Ferrando, Sebastian & Rubtsov, Alexey, 2016. "Portfolio choice with stochastic interest rates and learning about stock return predictability," International Review of Economics & Finance, Elsevier, vol. 41(C), pages 347-370.
- Legendre, François & Togola, Djibril, 2016.
"Explicit solutions to dynamic portfolio choice problems: A continuous-time detour,"
Economic Modelling, Elsevier, vol. 58(C), pages 627-641.
- François Legendre & Djibril Togola, 2015. "Explicit solution to dynamic portfolio choice problem: the continuous-time detour," Erudite Working Paper 2015-01, Erudite.
- François Legendre & Djibril Togola, 2016. "Explicit solutions to dynamic portfolio choice problems: A continuous-time detour," Post-Print hal-01342195, HAL.
- Franc{c}ois Legendre & Djibril Togola, 2015. "Explicit solution to dynamic portfolio choice problem : The continuous-time detour," Papers 1504.03079, arXiv.org.
- François Legendre & Djibril Togola, 2015. "Explicit solutions to dynamic portfolio choice problems: A continuous-time detour," Working Papers hal-01117787, HAL.
- Larsen, Linda Sandris, 2010. "Optimal investment strategies in an international economy with stochastic interest rates," International Review of Economics & Finance, Elsevier, vol. 19(1), pages 145-165, January.
- Chenxu Li & O. Scaillet & Yiwen Shen, 2020.
"Decomposition of Optimal Dynamic Portfolio Choice with Wealth-Dependent Utilities in Incomplete Markets,"
Swiss Finance Institute Research Paper Series
20-22, Swiss Finance Institute.
- Li, Chenxu & Scaillet, Olivier & Shen, Yiwen, 2020. "Decomposition of optimal dynamic portfolio choice with wealth-dependent utilities in incomplete markets," Working Papers unige:138414, University of Geneva, Geneva School of Economics and Management.
- Suleyman Basak & Georgy Chabakauri, 2010.
"Dynamic Mean-Variance Asset Allocation,"
The Review of Financial Studies, Society for Financial Studies, vol. 23(8), pages 2970-3016, August.
- Basak, Suleyman & Chabakauri, Georgy, 2009. "Dynamic Mean-Variance Asset Allocation," CEPR Discussion Papers 7256, C.E.P.R. Discussion Papers.
- Fabio Trojani & Roberto G. Ferretti, 2005. "General Analytical Solutions For Mertons'S-Type Consumption-Investment Problems," University of St. Gallen Department of Economics working paper series 2005 2005-02, Department of Economics, University of St. Gallen.
- John Y. Campbell, 2000.
"Asset Pricing at the Millennium,"
Journal of Finance, American Finance Association, vol. 55(4), pages 1515-1567, August.
- John Y. Campbell, 2000. "Asset Pricing at the Millennium," Harvard Institute of Economic Research Working Papers 1897, Harvard - Institute of Economic Research.
- John Y. Campbell, 2000. "Asset Pricing at the Millennium," NBER Working Papers 7589, National Bureau of Economic Research, Inc.
- Campbell, John, 2000. "Asset Pricing at the Millennium," Scholarly Articles 3294737, Harvard University Department of Economics.
- Li, Minqiang, 2010. "Asset Pricing - A Brief Review," MPRA Paper 22379, University Library of Munich, Germany.
- Ahmad Telfah, "undated". "" Do Financial Planners Take Financial Crashes In Their Advice: Dynamic Asset Allocation Under Thick Tails And Fast Volatility Updating," API-Working Paper Series 0604, Arab Planning Institute - Kuwait, Information Center.
- Ahmad Telfah, "undated". "Strategic Asset Allocation in Stochastic Environment And Incomplete Markets: Evidence on Horizon And Hedging Effects," API-Working Paper Series 0603, Arab Planning Institute - Kuwait, Information Center.
- Auffret, Philippe, 2001. "An alternative unifying measure of welfare gains from risk-sharing," Policy Research Working Paper Series 2676, The World Bank.
- John H. Cochrane, 1999.
"New facts in finance,"
Economic Perspectives, Federal Reserve Bank of Chicago, vol. 23(Q III), pages 36-58.
- John H. Cochrane, 1999. "New Facts in Finance," CRSP working papers 490, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- John H. Cochrane, 1999. "New Facts in Finance," NBER Working Papers 7169, National Bureau of Economic Research, Inc.
- John Y. Campbell & Luis M. Viceira & Joshua S. White, 2003.
"Foreign Currency for Long-Term Investors,"
Economic Journal, Royal Economic Society, vol. 113(486), pages 1-25, March.
- John Y. Campbell & Luis M. Viceira & Joshua S. White, 2002. "Foreign Currency for Long-Term Investors," NBER Working Papers 9075, National Bureau of Economic Research, Inc.
- Campbell, John Y & Viceira, Luis & White, Josh S., 2002. "Foreign Currency for Long-Term Investors," CEPR Discussion Papers 3463, C.E.P.R. Discussion Papers.
- Viceira, Luis & Campbell, John & White, Joshua, 2003. "Foreign Currency for Long-Term Investors," Scholarly Articles 3128708, Harvard University Department of Economics.
- Castañeda, Pablo & Devoto, Benjamín, 2016. "On the structural estimation of an optimal portfolio rule," Finance Research Letters, Elsevier, vol. 16(C), pages 290-300.
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bos:wpaper:wp2006-041. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Program Coordinator (email available below). General contact details of provider: https://edirc.repec.org/data/decbuus.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.