English, Article, Journal or magazine article edition: Optimal Real Consumption and Asset Allocation for a HARA Investor with Labour Income Francesco, MENONCIN

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  • preprint
Language
  • English

Edition details

Title
  • Optimal Real Consumption and Asset Allocation for a HARA Investor with Labour Income
Author
  • Francesco, MENONCIN
Physical Description
  • preprint
Notes
  • In this paper, we take into account a very general setting with : (i) a set of stochastic investment opportunities, (ii) a set of risky assets, (iii) a riskless asset paying a stochastic interest rate, (iv) a stochastic inflation risk, (v) stochastic labor income , and (vi) HARA preferences. We compute a quasi-explicit solution for both the optimal consumption and asset allocation. This solution is based on two changes in the probability measure. We also show that the investor behaves as if he could rely on his wealth augmented by the expected value of all his Òforward real labor incomesÓ
  • Asset Allocation; Inflation risk; Stochastic labour income; Stochastic investment opportunities; Feynman-Kac theorem
  • RePEc:ctl:louvir:2003015
Language
  • English
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