Article | Journal of Economic Dynamics & Control | October 2004

Strategic Asset Allocation in a Continuous-time VAR Model

by John Y. Campbell, George Chacko, Jorge Rodriguez and Luis M. Viceira

Keywords: Assets; Resource Allocation; Strategy;

Citation:

Campbell, John Y., George Chacko, Jorge Rodriguez, and Luis M. Viceira. "Strategic Asset Allocation in a Continuous-time VAR Model." Journal of Economic Dynamics & Control 28, no. 11 (October 2004): 2195–2214.