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Estimating a continuous time portfolio selection model: An application with UK data

Author

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  • Burak Saltoglu

    (Department of Economics, Marmara University, Kuyubasi, Istanbul, 81040, Turkey)

Abstract

An empirical assessment of a continuous time portfolio selection model is studied for the UK economy between 1970 and 1996. The estimates obtained from this study are both statistically significant and consistent with the model's predictions. The estimate of risk aversion parameter refers to low risk aversion which is consistent with the optimal risky asset holding parameter. Furthermore, the estimated parameters of the asset pricing relationship are also found to be consistent with the historical values of the stock prices.

Suggested Citation

  • Burak Saltoglu, 2000. "Estimating a continuous time portfolio selection model: An application with UK data," Empirical Economics, Springer, vol. 25(1), pages 93-109.
    • Handle: RePEc:spr:empeco:v:25:y:2000:i:1:p:93-109
    Note: received: February 1998/final version received: March 1999
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    More about this item

    Keywords

    Continuous time portfolio selection; stochastic differential equations; moving block bootstrapping technique;
    All these keywords.

    JEL classification:

    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • G0 - Financial Economics - - General

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