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

Listed author(s):
  • Jonathan Treussard

    ()

    (Department of Economics, Boston University)

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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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
Handle: RePEc:bos:wpaper:wp2005-033
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Web page: http://www.bu.edu/econ/

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