The DOI matches its Crossref record; 2 of the 2 references it cites were found in a registry or an index.
Consumption and Portfolio Decisions when Expected Returns are Time Varying
Open accessAbstract
This paper presents an approximate analytical solution to the optimal consumption and portfolio choice problem of an infinitely lived investor with Epstein-Zin-Weil utility who faces a constant riskless interest rate and a time-varying equity premium. When the model is calibrated to U. S. stock market data, it implies that intertemporal hedging motives greatly increase, and may even double, the average demand for stocks by investors whose risk-aversion coefficients exceed one. The optimal portfolio policy also involves timing the stock market. Failure to time or to hedge can cause large welfare losses relative to the optimal policy.
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Citations
Cites
By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior
Campbell, J. Y., & Cochrane, J. H. (1999) · Journal of Political Economy · doi:10.1086/250059 · Cited by 5,210
Self-citationDividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement
Hodrick, R. J. (1992) · Review of Financial Studies · doi:10.1093/rfs/5.3.351 · Cited by 1,523
Cited by
Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?
DeMiguel, V., Garlappi, L., & Uppal, R. (2009) · Review of Financial Studies · doi:10.1093/rfs/hhm075 · Cited by 3,199
Who Should Buy Long-Term Bonds?
Campbell, J. Y., & Viceira, L. M. (2001) · American Economic Review · doi:10.1257/aer.91.1.99 · Cited by 616
Self-citationChung, C. C., Lee, S.-H., Beamish, P. W., Southam, C., & Nam, D. (. (2013) · Journal of World Business · doi:10.1016/j.jwb.2012.06.013 · Cited by 84
A New Test of Risk Factor Relevance
CHINCO, A., HARTZMARK, S. M., & SUSSMAN, A. B. (2022) · The Journal of Finance · doi:10.1111/jofi.13135 · Cited by 75
Macro, Finance, and Macro Finance: Solving Nonlinear Models in Continuous Time with Machine Learning
Duarte, V. (2017) · SSRN Electronic Journal · doi:10.2139/ssrn.3012602 · Cited by 9
Metadata
- Authors
- Campbell, J. Y., & Viceira, L. M.
- Venue
- The Quarterly Journal of Economics
- Publisher
- Oxford University Press (OUP)
- Published
- 1999-05-01
- Volume
- 114
- Issue
- 2
- Pages
- 433-495
- ISSN
- 0033-5533 (ISSN-L)
- 1531-4650
- OpenAlex
- W2892093776
- Cited by
- 1,033
- References
- 2
- FWCI
- 62.89
- Type
- journal article
- Language
- en
- Open access
- green
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- Campbell, J. Y., & Viceira, L. M. (1999). Consumption and Portfolio Decisions when Expected Returns are Time Varying. The Quarterly Journal of Economics. https://doi.org/10.1162/003355399556043
Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
