Template-Type: ReDIF-Paper 1.0

Author-Name: Jonathan Treussard

Author-X-Name-First: Jonathan 
Author-X-Name-Last: Treussard
Author-Email: jtreussa@bu.edu

Author-Workplace-Name: Department of Economics, Boston University

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Author-X-Name-Last: 
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Title: Life-Cycle Consumption Plans and Portfolio Policies in
a Heath-Jarrow-Morton Economy


Abstract: This paper applies the methods of Detemple, Garcia, and Rindisbacher (2003, 2005) to
derive optimal lifetime consumption-portfolio plans in an economy characterized by a N-
factor Heath-Jarrow-Morton (1992) bond sector that is Markovian with respect to 3N state
variables. The Detemple-Garcia-Rindisbacher methodology is reviewed and its .exibility is
further demonstrated.


Length:  34 pages
Creation-Date: 2005-09
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File-URL: http://www.bu.edu/econ/workingpapers/papers/DGR_Optimal_Portfolios_In_HJM_Economy.pdf
File-Format: Application/pdf
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Number: WP2005-033
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Handle: RePEc:bos:wpaper:WP2005-033