TY  - JOUR
AU  - Campbell,John Y.
AU  - Chacko,George
AU  - Rodriguez,Jorge
AU  - Viciera,Luis M.
TI  - Strategic Asset Allocation in a Continuous-Time VAR Model
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 9547
PY  - 2003
Y2  - March 2003
UR  - http://www.nber.org/papers/w9547
L1  - http://www.nber.org/papers/w9547.pdf
N1  - Author contact info:
John Y. Campbell
Morton L. and Carole S.
Olshan Professor of Economics
Department of Economics
Harvard University
Littauer Center 213
Cambridge, MA 02138
Tel: 617/496-6448
Fax: 617/495-7730
E-Mail: john_campbell@harvard.edu

George Chacko
Santa Clara University
E-Mail: gchacko@scu.edu

Jorge Rodríguez
E-Mail: jarodris@yahoo.com

Luis M. Viceira
Baker Library 367
Graduate School of Business Administration
Harvard University
Boston, MA 02163
Tel: 617/495-6331
Fax: 617/496-6593
E-Mail: lviceira@hbs.edu
AB  - 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.
ER  -