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Parametric Portfolio Policies in the Surplus Consumption Ratio

The surplus consumption ratio plays a central role as a state variable in successful attempts to explain the time series properties of stock and bond prices with consumption-based asset pricing models. In this paper, optimal portfolio policies for a strategic investor who maximizes the conditionally expected utility of terminal wealth are parameterized as a polynomial in the surplus consumption ratio. Optimal portfolio policies are estimated using a method of moments estimator based on Euler equations. Unconditional portfolio policies are rejected in favor of conditional policies. Lower order polynomials are rejected in favor of higher order polynomials. Optimal stock and bond allocations are clearly countercyclical..Printed Journal

Ketersediaan

Call NumberLocationAvailable
IROF1502PSB lt.dasar - Pascasarjana1
Penerbit Wiley.,
Edisi -
Subjek Consumption
Based
consumption ratio
portfolio policies
ISBN/ISSN 1369412X
Klasifikasi -
Deskripsi Fisik -
Info Detail Spesifik -
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