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~person:"CHACKO, George"
~subject:"continuous-time"
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continuous-time
Intertemporal portfolio choice
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long-term investors
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recursive utility
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CHACKO, George
Fernández-Villaverde, Jesús
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Hurtado, Samuel
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Nuño, Galo
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Parra-Alvarez, Juan Carlos
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Posch, Olaf
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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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