Estimating portfolio and consumption choice [electronic resource] : A conditional Euler equations approach / Michael W. Brandt.

Brandt, Michael W.
Bib ID
vtls001055070
出版項
Ann Arbor, Mich. : ProQuest Information and learning
稽核項
61 p.
電子版
預約人數:0
全部評等: 0
沒有紀錄。
 
 
 
01675nam a2200289 a 4500
001
 
 
vtls001055070
003
 
 
VRT
005
 
 
20071225064200.0
006
 
 
m        d 
008
 
 
071225s1998    miu||||||m   |000 0|eng d
020
$a 9780591956870
035
$a (UMI)AAI9841495
039
9
$y 200712250642 $z VLOAD
040
$a UMI $b eng $c UMI
100
1
$a Brandt, Michael W.
245
1
0
$a Estimating portfolio and consumption choice $h [electronic resource] : $b A conditional Euler equations approach / $c Michael W. Brandt.
260
$a Ann Arbor, Mich. : $b ProQuest Information and learning
300
$a 61 p.
500
$a Source: Dissertation Abstracts International, Volume: 59-07, Section: A, page: 2641.
500
$a Adviser: John H. Cochrane.
502
$a Thesis (Ph.D.)--The University of Chicago, 1998.
520
$a This paper develops a nonparametric approach to examine how portfolio and consumption choice depends on variables that forecast time-varying investment opportunities. I estimate single-period and multiperiod portfolio and consumption rules of an investor with constant relative risk aversion and a one-month to twenty-year horizon. The investor allocates wealth to the NYSE index and a 30-day Treasury bill. I find that the portfolio choice varies significantly with the dividend yield, default premium, term premium, and lagged excess return. Furthermore, the optimal decisions depend on the investor's horizon and rebalancing frequency.
653
$a Economics, Finance.
710
2
0
$a The University of Chicago.
773
0
$t ABI/INFORM Global (ProQuest) $g 59-07A.
856
4
1
$u http://info.lib.tku.edu.tw/ebook/redirect.asp?bibid=1055070
999
$a VIRTUA00
沒有評論
摘要
This paper develops a nonparametric approach to examine how portfolio and consumption choice depends on variables that forecast time-varying investment opportunities. I estimate single-period and multiperiod portfolio and consumption rules of an investor with constant relative risk aversion and a one-month to twenty-year horizon. The investor allocates wealth to the NYSE index and a 30-day Treasury bill. I find that the portfolio choice varies significantly with the dividend yield, default premium, term premium, and lagged excess return. Furthermore, the optimal decisions depend on the investor's horizon and rebalancing frequency.
附註
Source: Dissertation Abstracts International, Volume: 59-07, Section: A, page: 2641.
Adviser: John H. Cochrane.
Thesis (Ph.D.)--The University of Chicago, 1998.
合著者
ISBN/ISSN
9780591956870