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- W3148698205 abstract "We derive and estimate the optimal disbursement from an infinitely-lived charitable trust with an Epstein-Zin-Weil utility function, given general Markovian returns to wealth. We analyze two special cases: where spending is a power function of last period's wealth and the endowment uses 'payout smoothing'. Via nonlinear least squares, we estimate the optimal spending rate and the elasticity of intertemporal substitution for a trust with a typical diversified portfolio and for a portfolio of hedge funds. Finally, we use maximum entropy methods to characterize the returns distribution of a trust whose spending plan conforms with the optimality condition." @default.
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- W3148698205 date "2012-01-01" @default.
- W3148698205 modified "2023-09-25" @default.
- W3148698205 title "Estimating Consumption Plans for Recursive Utility by Maximum Entropy Methods" @default.
- W3148698205 hasPublicationYear "2012" @default.
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