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

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Author Info
Burak Saltoglu () (Department of Economics, Marmara University, Kuyubasi, Istanbul, 81040, Turkey)

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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.

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File URL: http://link.springer.de/link/service/journals/00181/papers/0025001/00250093.pdf
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Publisher Info
Article provided by Springer in its journal Empirical Economics.

Volume (Year): 25 (2000)
Issue (Month): 1 ()
Pages: 93-109
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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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Related research
Keywords: Continuous time portfolio selection; stochastic differential equations; moving block bootstrapping technique;

Find related papers by 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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This page was last updated on 2009-12-4.

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