NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Strategic Asset Allocation in a Continuous-Time VAR Model

John Y. Campbell, George Chacko, Jorge Rodriguez, Luis M. Viciera

NBER Working Paper No. 9547
Issued in March 2003
NBER Program(s):   EFG   ME   AP

This note derives an approximate solution to a continuous-time intertemporal portfolio and consumption choice problem. The problem is the continuous-time equivalent of the discrete-time problem studied by Campbell and Viceira (1999), in which the expected excess return on a risky asset follows an AR(1)process, while the riskless interest rate is constant. The note also shows how to obtain continuous-time parameters that are consistent with discrete-time econometric estimates. The continuous-time solution is numerically close to that of Campbell and Viceira and has the property that conservative long-term investors have a large positive intertemporal hedging demand for stocks.

download in pdf format
   (299 K)

email paper

This paper is available as PDF (299 K) or via email.

Machine-readable bibliographic record - MARC, RIS, BibTeX

Document Object Identifier (DOI): 10.3386/w9547

Published: 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. citation courtesy of

Users who downloaded this paper also downloaded these:
Campbell, Chan, and Viceira w8566 A Multivariate Model of Strategic Asset Allocation
Wachter w16255 Asset Allocation
Viceira w7409 Optimal Portfolio Choice for Long-Horizon Investors with Nontradable Labor Income
Liu, Longstaff, and Pan w9103 Dynamic Asset Allocation With Event Risk
Wachter and Warusawitharana w13165 Predictable Returns and Asset Allocation: Should a Skeptical Investor Time the Market?
 
Publications
Activities
Meetings
NBER Videos
Data
People
About

Support
National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email: info@nber.org

Contact Us