@techreport{NBERw9547,
title = "Strategic Asset Allocation in a Continuous-Time VAR Model",
author = "John Y. Campbell and George Chacko and Jorge Rodriguez and Luis M. Viciera",
institution = "National Bureau of Economic Research",
type = "Working Paper",
series = "Working Paper Series",
number = "9547",
year = "2003",
month = "March",
doi = {10.3386/w9547},
URL = "http://www.nber.org/papers/w9547",
abstract = {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.},
}