Strategic Asset Allocation in a Continuous-Time VAR Model
Year of publication: |
2003-03
|
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Authors: | Campbell, John Y. ; Viceira, Luis M. ; Chacko, George ; Rodriguez, Jorge |
Institutions: | National Bureau of Economic Research (NBER) |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | EFG ME AP published as Campbell, John Y. & Chacko, George & Rodriguez, Jorge & Viceira, Luis M., 2004. "Strategic asset allocation in a continuous-time VAR model," Journal of Economic Dynamics and Control, Elsevier, vol. 28(11), pages 2195-2214, October. Number 9547 |
Classification: | G12 - Asset Pricing |
Source: |
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