scholarly journals Lifetime Consumption-Portfolio Choice Under Trading Constraints, Recursive Preferences and Nontradeable Income

2003 ◽  
Author(s):  
Mark Schroder ◽  
Costis Skiadas
Keyword(s):  
Portfolio Choice ◽  
Recursive Preferences ◽  
Trading Constraints

Time-Varying Margin Requirements and Optimal Portfolio Choice

2016 ◽  
Vol 51 (2) ◽  
pp. 655-683 ◽  
Author(s):  
Oleg Rytchkov
Keyword(s):  
Portfolio Choice ◽  
Optimal Portfolio ◽  
Optimal Consumption ◽  
Time Varying ◽  
Recursive Preferences ◽  
Margin Requirements ◽  
Portfolio Problem ◽  
Hedging Demand

AbstractThis paper studies the optimal consumption and portfolio problem of an investor with recursive preferences who is subject to time-varying margin requirements. The level of the requirements at each moment is determined by contemporaneous volatility of returns, which is stochastic and may have jumps. I show that the nonstandard hedging demand produced by margin requirements increases with their persistence and volatility. However, for realistic values of parameters, the hedging demand is small even in the presence of jumps, and contemporaneous jumps in prices have a much stronger effect on optimal portfolio than jumps in constraints.

Liquidity and Portfolio Choice: A Unified Approach

CFA Digest ◽  
2013 ◽  
Vol 43 (3) ◽  
Author(s):  
Jennie I. Sanders
Keyword(s):  
Portfolio Choice ◽  
Unified Approach
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