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Asset allocation 1 Feynman-Kač theorem 1 Stochastic investment opportunities 1 Stochastic wage income 1
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Menoncin, Francesco 1
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Economia Internazionale / International Economics 1
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Optimal Asset Allocation for HARA Consumers with Labour Income
Menoncin, Francesco - In: Economia Internazionale / International Economics 56 (2003) 3, pp. 357-381
We take into account: (i) a set of stochastic investment opportunities, (ii) a set of risky assets, (iii) a stochastic riskless interest rate, (iv) stochastic labour incomes, and (v) HARA preferences. Without specifying any particular functional form for drifts and diffusions of all the...
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