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Unpublished Paper
Efficient Intertemporal Allocation of Risk and Return
Stanford Business School Research Papers (2009)
  • Robert B Wilson
  • Eiichiro Kazumori
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.

Keywords
  • finance,
  • contract,
  • efficient allocation,
  • risk aversion,
  • impatience,
  • stochastic differential equation
Disciplines
Publication Date
April, 2009
Citation Information
Robert B Wilson and Eiichiro Kazumori. "Efficient Intertemporal Allocation of Risk and Return" Stanford Business School Research Papers (2009)
Available at: http://works.bepress.com/wilson_robert/19/