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The Journal of Wealth Management

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Dynamic Consumption and Portfolio Decisions with
Estimated Low Frequency Movements of Asset Returns

Willi Semmler and Chih-Ying Hsiao
The Journal of Wealth Management Fall 2011, 14 (2) 101-111; DOI: https://doi.org/10.3905/jwm.2011.14.2.101
Willi Semmler
is a professor in the Economics Department at the New School in New York, NY.
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  • For correspondence: semmlerw@newschool.edu
Chih-Ying Hsiao
is a manager in Group Quantitative at the Commonwealth Bank of Australia in Sydney, Australia.
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  • For correspondence: chihyinghsiao@gmail.com
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Article Information

vol. 14 no. 2 101-111
DOI 
https://doi.org/10.3905/jwm.2011.14.2.101

Published By 
Pageant Media Ltd
Print ISSN 
1534-7524
Online ISSN 
2374-1368
History 
  • Published online July 31, 2011.

Copyright & Usage 
© 2011 Pageant Media Ltd

Author Information

  1. Willi Semmler
    1. is a professor in the Economics Department at the New School in New York, NY. (semmlerw{at}newschool.edu)
  2. Chih-Ying Hsiao
    1. is a manager in Group Quantitative at the Commonwealth Bank of Australia in Sydney, Australia. (chihyinghsiao{at}gmail.com)
  1. To order reprints of this article, please contact Dewey Palmieri at dpalmieri{at}iijournals.com or 212-224-3675.
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The Journal of Wealth Management: 14 (2)
The Journal of Wealth Management
Vol. 14, Issue 2
Fall 2011
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Dynamic Consumption and Portfolio Decisions with
Estimated Low Frequency Movements of Asset Returns
Willi Semmler, Chih-Ying Hsiao
The Journal of Wealth Management Jul 2011, 14 (2) 101-111; DOI: 10.3905/jwm.2011.14.2.101

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Dynamic Consumption and Portfolio Decisions with
Estimated Low Frequency Movements of Asset Returns
Willi Semmler, Chih-Ying Hsiao
The Journal of Wealth Management Jul 2011, 14 (2) 101-111; DOI: 10.3905/jwm.2011.14.2.101
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  • Article
    • Abstract
    • THE LITERATURE ON DYNAMIC CONSUMPTION AND ASSET ALLOCATION DECISIONS
    • THE DYNAMIC PROGRAMMING SOLUTION
    • VARYING RISK AVERSION ACROSS INVESTORS
    • VARYING TIME HORIZON ACROSS INVESTORS
    • SOME CONCLUSIONS
    • APPENDIX
    • ENDNOTES
    • REFERENCES
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  • PDF (Subscribers Only)
  • PDF (Subscribers Only)

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