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- W2132382670 abstract "This paper solves numerically the intertemporal consumption and portfolio choice problem of an infinitely-lived investor who faces a time-varying equity premium. The solutions we obtain are very similar to the approximate analytical solutions of Campbell and Viceira (1999), except at the upper extreme of the state space where both the numerical consumption and portfolio rules flatten out. We also consider a constrained version of the problem in which the investor faces borrowing and short-sales constraints. These constraints bind when the equity premium moves away from its mean in either direction, and are particularly severe for risk-tolerant investors. The optimal constrained portfolio rules are similar but not identical to the optimal unconstrained rules with the constraints imposed. The portfolio constraints also affect the optimal consumption policy." @default.
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- W2132382670 date "2000-01-01" @default.
- W2132382670 modified "2023-10-15" @default.
- W2132382670 title "Stock Market Mean Reversion And The Optimal Equity Allocation Of A Long-Lived Investor" @default.
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- W2132382670 doi "https://doi.org/10.2139/ssrn.237175" @default.
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