Matches in SemOpenAlex for { <https://semopenalex.org/work/W1535990708> ?p ?o ?g. }
Showing items 1 to 100 of
100
with 100 items per page.
- W1535990708 abstract "We rigorously explain the numerical approach used in the above-mentioned paper. The methodology is based on Brandt, Goyal, Santa-Clara, and Stroud (2005) (Review of Financial Studies) and Carroll (2006) (Economics Letters). In addition to combining these numerical techniques, we suggest two extensions. First, the approach of Brandt, Goyal, Santa-Clara, and Stroud (2005) approximates the conditional expectations encountered in optimizing the utility function via polynomial expansions in the state variables. The coefficients in these expansions are estimated using cross-sectional regressions across a set of simulated trajectories of returns and state variables. We develop an accurate approximation of these regression coefficients to facilitate fast optimization over the portfolio weights. This allows us to deal with a large number of decision variables without relying on iterative procedures. Second, to approximate the conditional expectations that lead to the optimal consumption strategy, we ensure that the approximation remains strictly positive, while keeping the approximation computationally tractable." @default.
- W1535990708 created "2016-06-24" @default.
- W1535990708 creator A5018469772 @default.
- W1535990708 creator A5031126047 @default.
- W1535990708 creator A5083877502 @default.
- W1535990708 date "2007-01-01" @default.
- W1535990708 modified "2023-10-14" @default.
- W1535990708 title "Appendix Describing the Numerical Method Used in 'When Can Life-Cycle Investors Benefit from Time-Varying Bond Risk Premia?'" @default.
- W1535990708 cites W1535990708 @default.
- W1535990708 cites W2019784037 @default.
- W1535990708 cites W2092613648 @default.
- W1535990708 cites W2097685531 @default.
- W1535990708 cites W2126311658 @default.
- W1535990708 cites W2129822481 @default.
- W1535990708 cites W2131821252 @default.
- W1535990708 cites W2169543372 @default.
- W1535990708 cites W2911765577 @default.
- W1535990708 cites W3122186737 @default.
- W1535990708 doi "https://doi.org/10.2139/ssrn.945720" @default.
- W1535990708 hasPublicationYear "2007" @default.
- W1535990708 type Work @default.
- W1535990708 sameAs 1535990708 @default.
- W1535990708 citedByCount "6" @default.
- W1535990708 countsByYear W15359907082013 @default.
- W1535990708 countsByYear W15359907082020 @default.
- W1535990708 crossrefType "journal-article" @default.
- W1535990708 hasAuthorship W1535990708A5018469772 @default.
- W1535990708 hasAuthorship W1535990708A5031126047 @default.
- W1535990708 hasAuthorship W1535990708A5083877502 @default.
- W1535990708 hasConcept C10138342 @default.
- W1535990708 hasConcept C105795698 @default.
- W1535990708 hasConcept C121332964 @default.
- W1535990708 hasConcept C126255220 @default.
- W1535990708 hasConcept C129537906 @default.
- W1535990708 hasConcept C134306372 @default.
- W1535990708 hasConcept C14036430 @default.
- W1535990708 hasConcept C144024400 @default.
- W1535990708 hasConcept C144237770 @default.
- W1535990708 hasConcept C149782125 @default.
- W1535990708 hasConcept C151541453 @default.
- W1535990708 hasConcept C162324750 @default.
- W1535990708 hasConcept C177264268 @default.
- W1535990708 hasConcept C186215838 @default.
- W1535990708 hasConcept C199360897 @default.
- W1535990708 hasConcept C2780821815 @default.
- W1535990708 hasConcept C28826006 @default.
- W1535990708 hasConcept C30772137 @default.
- W1535990708 hasConcept C33923547 @default.
- W1535990708 hasConcept C36289849 @default.
- W1535990708 hasConcept C41008148 @default.
- W1535990708 hasConcept C69738904 @default.
- W1535990708 hasConcept C78458016 @default.
- W1535990708 hasConcept C83546350 @default.
- W1535990708 hasConcept C86803240 @default.
- W1535990708 hasConcept C90119067 @default.
- W1535990708 hasConcept C97355855 @default.
- W1535990708 hasConceptScore W1535990708C10138342 @default.
- W1535990708 hasConceptScore W1535990708C105795698 @default.
- W1535990708 hasConceptScore W1535990708C121332964 @default.
- W1535990708 hasConceptScore W1535990708C126255220 @default.
- W1535990708 hasConceptScore W1535990708C129537906 @default.
- W1535990708 hasConceptScore W1535990708C134306372 @default.
- W1535990708 hasConceptScore W1535990708C14036430 @default.
- W1535990708 hasConceptScore W1535990708C144024400 @default.
- W1535990708 hasConceptScore W1535990708C144237770 @default.
- W1535990708 hasConceptScore W1535990708C149782125 @default.
- W1535990708 hasConceptScore W1535990708C151541453 @default.
- W1535990708 hasConceptScore W1535990708C162324750 @default.
- W1535990708 hasConceptScore W1535990708C177264268 @default.
- W1535990708 hasConceptScore W1535990708C186215838 @default.
- W1535990708 hasConceptScore W1535990708C199360897 @default.
- W1535990708 hasConceptScore W1535990708C2780821815 @default.
- W1535990708 hasConceptScore W1535990708C28826006 @default.
- W1535990708 hasConceptScore W1535990708C30772137 @default.
- W1535990708 hasConceptScore W1535990708C33923547 @default.
- W1535990708 hasConceptScore W1535990708C36289849 @default.
- W1535990708 hasConceptScore W1535990708C41008148 @default.
- W1535990708 hasConceptScore W1535990708C69738904 @default.
- W1535990708 hasConceptScore W1535990708C78458016 @default.
- W1535990708 hasConceptScore W1535990708C83546350 @default.
- W1535990708 hasConceptScore W1535990708C86803240 @default.
- W1535990708 hasConceptScore W1535990708C90119067 @default.
- W1535990708 hasConceptScore W1535990708C97355855 @default.
- W1535990708 hasLocation W15359907081 @default.
- W1535990708 hasOpenAccess W1535990708 @default.
- W1535990708 hasPrimaryLocation W15359907081 @default.
- W1535990708 hasRelatedWork W2062909692 @default.
- W1535990708 hasRelatedWork W2067000786 @default.
- W1535990708 hasRelatedWork W2144804109 @default.
- W1535990708 hasRelatedWork W2278603143 @default.
- W1535990708 hasRelatedWork W2790540360 @default.
- W1535990708 hasRelatedWork W2904489614 @default.
- W1535990708 hasRelatedWork W2974467777 @default.
- W1535990708 hasRelatedWork W3124450989 @default.
- W1535990708 hasRelatedWork W3124706508 @default.
- W1535990708 hasRelatedWork W3125652265 @default.
- W1535990708 isParatext "false" @default.
- W1535990708 isRetracted "false" @default.
- W1535990708 magId "1535990708" @default.
- W1535990708 workType "article" @default.