Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets

This paper analyzes optimal portfolio choice and consumption with stochastic volatility in incomplete markets.

Year of publication:	1999-09-01
Authors:	Chacko, George ; Viceira, Luis M.
Publisher:	International Center for Financial Asset Management and Engineering (FAME) <Genf>
Subject:	Ökonometrie \| econometrics \| Aktienmarkt \| Portfolio Selection \| Volatilität \| Risikoaversion \| Langfristige Finanzierung \| long-term financing

freely available

Full text |

More access options

Check Google Scholar

In German libraries (KVK)

1. Introduction
2. The intertemporal consumption and portfolio choice problem
3. An exact solution with unit elasticity of intertemporal substitution
Approximate general solution
4. Consumption and portfolio choice when expected excess returns covary with volatility
5. Model estimation: spectral GMM
6. Optimal Consumption and portfoliochoice with stochastic volatility: the U.S. experience
7. Conclusion

Persistent link: https://www.econbiz.de/10005843149

A service of the