Abstract

  


 



Efficient Intertemporal Allocation of Risk and Return


Robert Wilson


Stanford Graduate School of Business

Eiichiro Kazumori


Stanford Graduate School of Business
April 1, 2009

Stanford Graduate School of Business Research Paper Series No. 2055

Abstract:     
Efficient allocation of a stochastic stream of financial income is characterized by an explicit stochastic differential equation for the case that each agent has stationary preferences and the probability law of the stochastic process is known. The initial condition is affected by which efficient allocation is chosen, but subsequent evolution is determined solely by agents' impatience and risk aversion.

Number of Pages in PDF File: 14

Keywords: efficient allocation of risk, economic theory, risk

JEL Classification: D53, D61, D70, D86, D91

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Date posted: July 14, 2010  

Suggested Citation

Wilson, Robert B. and Kazumori, Eiichiro, Efficient Intertemporal Allocation of Risk and Return (April 1, 2009). Stanford Graduate School of Business Research Paper Series No. 2055. Available at SSRN: http://ssrn.com/abstract=1639613 or http://dx.doi.org/10.2139/ssrn.1639613

Contact Information

Robert B. Wilson (Contact Author)
Stanford Graduate School of Business ( email )
518 Memorial Way
Stanford, CA 94305-5015
United States
650-723-8620 (Phone)
650-725-7979 (Fax)

Eiichiro Kazumori
Stanford Graduate School of Business ( email )
518 Memorial Way
Stanford, CA 94305-5015
United States
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