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~institution:"Swiss Finance Institute"
~subject:"continuous-time"
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continuous-time
Intertemporal portfolio choice
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Liquidity
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banking
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characteristic function
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continuous time
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deposit contracts
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dynamic programming
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incentive compatibility
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long-term investors
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recursive utility
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CHACKO, George
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VICEIRA, Luis M.
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Swiss Finance Institute
University of Rochester - Center for Economic Research (RCER)
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Facultat d'Economia i Empresa, Universitat de Barcelona
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Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets
CHACKO, George
;
VICEIRA, Luis M.
-
Swiss Finance Institute
-
1999
the Duffie-Epstein (1992) formulation of recursive utility in
continuous
time
, it shows that the optimal portfolio demand …
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