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Unconstrained Portfolio Optimization Solution
Pricing Kernel Specification
3 other sections not shown
3-month T-bill 6-month 1-year 3-year asset market asset subspace bond volatilities bonds of different bonds of maturities calibrated to parameters Chapter coefficient compute conditional expectation constrained investor constraints on investment consumption correlation coupon bonds covariance matrix demand for long-term denote descriptive statistics different maturities equation estimation expected utility globally optimal implies interest rate intermediate consumption investment horizon investment policy Karatzas long bond long-term bonds long-term investors long-term means lower boundary martingale maturity of bonds minimum maturity normally distributed obtain optimal wealth path Panel parameters presented portfolio optimization positive demand prices of risks pricing kernel QG model quadratic function quadratic polynomial redundant regression restrictions risk premium risk-aversion parameter risk-neutral measure sample set of assets short sales short-sales constraint simulation span the market stochastic Taylor series term structure model terminal wealth optimization three-factor term structure unconstrained optimization utility loss value function variables volatility vector zero-coupon bonds