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Life-Cycle Consumption Plans and Portfolio Policies in a Heath-Jarrow-Morton Economy

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  • Jonathan Treussard

    ()
    (Department of Economics, Boston University)

Abstract

This paper applies the methods of Detemple, Garcia, and Rindisbacher (2003, 2005) to derive optimal lifetime consumption-portfolio plans in an economy characterized by a N- factor Heath-Jarrow-Morton (1992) bond sector that is Markovian with respect to 3N state variables. The Detemple-Garcia-Rindisbacher methodology is reviewed and its .exibility is further demonstrated.

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Bibliographic Info

Paper provided by Boston University - Department of Economics in its series Boston University - Department of Economics - Working Papers Series with number WP2005-033.

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Length: 34 pages
Date of creation: Sep 2005
Date of revision:
Handle: RePEc:bos:wpaper:wp2005-033

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Cited by:
  1. Doriana Ruffino & Jonathan Treussard, 2006. "Optimal Age-Based Portfolios with Stochastic Investment Opportunity Sets," Boston University - Department of Economics - Working Papers Series WP2006-041, Boston University - Department of Economics.
  2. Salvatore Piccolo & David Martimort, 2006. "The Strategic Value of Incomplete Contracting in a Competing Hierarchies Environment," CSEF Working Papers 160, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, revised 08 Dec 2006.

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