Dynamic Consumption and Portfolio Choice
Dynamic Consumption and Portfolio Choice with Ambiguity about Stochastic Volatility
... for dynamic consumption and portfolio choice with stochastic ...their portfolio continuously (as a function of the instantaneous variance), ambiguity has no ...tinuous portfolio ...
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Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets
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Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets
... optimal portfolio choice and consumption with stochastic volatility in incomplete ...optimal portfolio demand for stocks under stochastic volatility varies strongly with the investor’s ...
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Dynamic portfolio and mortgage choice for homeowners
... financial portfolio choice, we choose to condition on a given house size (or equivalently, housing wealth at t = 0) ...interim consumption instead of over terminal wealth is not likely to change the ...
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An optimal portfolio, consumption leisure and retirement choice problem with CES utility: a dynamic programming approach
... optimal portfolio, consumption-leisure and retirement choice problem for an infinitely lived economic agent with a CES utility ...the dynamic programming method, we obtain the value function ...
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Consumption portfolio choice with subsistence consumption and risk aversion change at retirement
... Keywords: Dynamic programming method; Free boundary value problem; Optimal stopping time; Risk aversion change; Subsistence consumption 1 Introduction In the present paper, we study lifetime ...
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Money in motion: dynamic portfolio choice in retirement
... Accordingly, as we demonstrate below, full initial annuitization as imposed in earlier studies is suboptimal when assuming reasonable parameters. 17 Figure 2 here The reason that the consumer holds on to her ...
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Money in Motion: Dynamic Portfolio Choice in Retirement
... Accordingly, as we demonstrate below, full initial annuitization as imposed in earlier studies is suboptimal when assuming reasonable parameters. 17 Figure 2 here The reason that the consumer holds on to her ...
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Money in Motion: Dynamic Portfolio Choice in Retirement
... Accordingly, as we demonstrate below, full initial annuitization as imposed in earlier studies is suboptimal when assuming reasonable parameters. 17 Figure 2 here The reason that the consumer holds on to her ...
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Money in Motion: Dynamic Portfolio Choice in Retirement
... Accordingly, as we demonstrate below, full initial annuitization as imposed in earlier studies is suboptimal when assuming reasonable parameters. 17 Figure 2 here The reason that the consumer holds on to her ...
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Lifetime consumption-portfolio choice under trading constraints, recursive preferences, and nontradeable income
... a dynamic version of the distinction made by Segal and Spivak [34] ...and dynamic investment opportunity sets, the Gaussian case included, the incomplete market problem reduces to a system of Riccati-type ...
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The Effect of Housing on Portfolio Choice
... and choice variables using equal-spaced grids, and the probability density functions of shocks with three-point Gaussian ...each choice of ...the dynamic model, we perform the same exercise in the ...
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Dynamic portfolio choice with frictions
... Keywords: Dynamic trading; Frictions; Transaction costs; Continuous time; Predictability; Equilibrium A fundamental question in financial economics is how to choose an optimal ...their portfolio in light of ...
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Optimal consumption and portfolio choice with ambiguity
... This basic model has been extended in many forms, of course 3 . Here, we show how to treat the optimal portfolio-consumption choice problem for an investor who does not know the specic parameters nor ...
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CiteSeerX — Dynamic Portfolio Choice with Frictions∗
... Our explicit solution shows how persistent information is optimally given more weight, and we derive implications for equilibrium expected returns. Finally, we provide several additional applications of our framework to ...
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Dynamic Trading Strategies and Portfolio Choice
... in dynamic asset allocation, Campbell and Viceira (1999) use a vector autoregression (VAR) ...optimal dynamic asset allocation for an infinite lived agent who can rebalance each time ...(i.e., ...
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Dynamic Trading Strategies and Portfolio Choice
... in dynamic asset allocation, Campbell and Viceira (1999) use a vector autoregression (VAR) ...optimal dynamic asset allocation for an infinite lived agent who can rebalance each time ...(i.e., dynamic ...
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Saving Rates and Portfolio Choice with Subsistence Consumption
... subsistence consumption of the form C (t) is the central contribution of this ...subsistence consumption capable of resolving both the qualitative and quantitative prop- erties of the data expressed through ...
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Consumption and Portfolio Choice over the Life Cycle
... We therefore consider different values for b ranging from 1 to 5. Figure 8 shows the simulated optimal equity shares, along with the bench- mark case (b ¼ 0) for comparison. For b 2, the largest effects obtain very ...
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The current account as a dynamic portfolio choice problem
... optimal portfolio shares does not change considerably with the relative risk aversion parameter, the average values of t *, H and t F are highly sensitive to this ...individual portfolio shares are ...
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