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On the Verification Theorem of Dynamic Portfolio-Consumption Problems with Stochastic Market Price of Risk

  • Toshiki Honda

    ()

  • Shoji Kamimura

    ()

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    No abstract is available for this item.

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    File URL: http://hdl.handle.net/10.1007/s10690-010-9128-y
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    Article provided by Springer in its journal Asia-Pacific Financial Markets.

    Volume (Year): 18 (2011)
    Issue (Month): 2 (May)
    Pages: 151-166

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    Handle: RePEc:kap:apfinm:v:18:y:2011:i:2:p:151-166
    Contact details of provider: Web page: http://springerlink.metapress.com/link.asp?id=102851

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    1. Kim, Tong Suk & Omberg, Edward, 1996. "Dynamic Nonmyopic Portfolio Behavior," Review of Financial Studies, Society for Financial Studies, vol. 9(1), pages 141-61.
    2. Campbell, John & Viceira, Luis, 1999. "Consumption and Portfolio Decisions When Expected Returns are Time Varying," Scholarly Articles 3163266, Harvard University Department of Economics.
    3. Brennan, Michael J. & Schwartz, Eduardo S. & Lagnado, Ronald, 1997. "Strategic asset allocation," Journal of Economic Dynamics and Control, Elsevier, vol. 21(8-9), pages 1377-1403, June.
    4. Wachter, Jessica A., 2002. "Portfolio and Consumption Decisions under Mean-Reverting Returns: An Exact Solution for Complete Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 37(01), pages 63-91, March.
    5. Michael W. Brandt, 1999. "Estimating Portfolio and Consumption Choice: A Conditional Euler Equations Approach," Journal of Finance, American Finance Association, vol. 54(5), pages 1609-1645, October.
    6. Thaleia Zariphopoulou, 2001. "A solution approach to valuation with unhedgeable risks," Finance and Stochastics, Springer, vol. 5(1), pages 61-82.
    7. Jun Liu, 2007. "Portfolio Selection in Stochastic Environments," Review of Financial Studies, Society for Financial Studies, vol. 20(1), pages 1-39, January.
    8. Bielecki, Tomasz R. & Pliska, Stanley R. & Sherris, Michael, 2000. "Risk sensitive asset allocation," Journal of Economic Dynamics and Control, Elsevier, vol. 24(8), pages 1145-1177, July.
    9. R. C. Merton, 1970. "Optimum Consumption and Portfolio Rules in a Continuous-time Model," Working papers 58, Massachusetts Institute of Technology (MIT), Department of Economics.
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