Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets

By George K. Chacko, Luis M. Viceira. 2005

578 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/b61b3db98a00cff5abb7cb868ddd2effbf6e0678

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Zhongfei Li
2. V. Todorov
3. Yan Zeng
4. Frederi G. Viens
5. Tim Bollerslev
6. Bo Yi
7. Fabio Trojani
8. Andrea Buraschi

In Finance

1. Zhongfei Li
2. V. Todorov
3. Tim Bollerslev
4. Yan Zeng
5. Frederi G. Viens
6. Bo Yi
7. Andrea Buraschi
8. Fabio Trojani

Citations in the corpus

• Volatility‐Managed Portfolios (2017, unknown): “Examples of work that study volatility timing in a dynamic environment are Chacko and Viceira (2005) and Liu (2007).”
• STRATEGIC ASSET ALLOCATION IN A CONTINUOUS-TIME VAR MODEL (2004, unknown): “Campbell and Viceira (2002) and Chacko and Viceira (1999) suggest approximating this term around the unconditional mean of the log consumption wealth-ratio.”
• Tails, Fears and Risk Premia (2010, result): “…temporal variation in the investment opportunity set for explaining the risk premia suggested by our results is also consistent with the evidence in Chacko and Viceira (2005), which indicate only modest gains from standard intertemporal hedging in the context of dynamic consumption and portfolio…”
• Hedging (Co)Variance Risk with Variance Swaps (2011, unknown): “Under the above assumptions, Da Fonseca et al. (2007b) showed that the correlation matrix among the Brownian motions has a very special and parsimonious form: Proposition 2.1. (Da Fonseca et al. (2007b)) Assumption 2.”
• Portfolios and risk premia for the long run. (2012, background): “Wachter (2002), Chacko and Viceira (2005) among others.”
• Optimal time-consistent investment and reinsurance strategies for insurers under Heston’s SV model (2012, background): “For example, Zariphopoulou (1999), Fleming and Hernández-Hernández (2003), Chacko and Viceira (2005) and Liu (2007) considered the optimal investment and consumption problems under SV models and derived the closed-form expression of the optimal strategies and the optimal value functions in some…”
• Optimal lifetime consumption-portfolio strategies under trading constraints and generalized recursiv (2003, unknown): “complete market solutions of Svensson (1989), Obstfeld (1994), and Schroder and Skiadas (1999); the incomplete market examples of Kim and Omberg (1996), Chacko and Viceira (1999) , Liu (2001), and Zariphopoulou and Tiu (2002); and the multiple priors examples of Chen and Epstein (2002).”
• Robust optimal control for an insurer with reinsurance and investment under Heston’s stochastic volatility model (2013, methodology): “For instance, Liu & Pan (2003), Chacko & Viceira (2005), Kraft (2005) and Liu (2007) considered the optimal investment and/or consumption problems under Heston’s SV model by adopting the stochastic dynamic programming approach; Pham & Quenez (2001), Viens (2002), and Kim & Viens (2012) focused on…”
• An Empirical Portfolio Perspective on Option Pricing Anomalies (2007, methodology): “We also conduct an additional experiment with stochastic volatility, which induces time variation in investment opportunities and intertemporal hedging demands for equity (Chacko and Viceira (2005)) or for options (Liu and Pan (2003)).”