Strategic asset allocation in a continuous-time VAR model

B-Tier

Journal: Journal of Economic Dynamics and Control

Year: 2004

Volume: 28

Issue: 11

Pages: 2195-2214

Authors (4)

Campbell, John Y. (Harvard University) Chacko, George (not in RePEc) Rodriguez, Jorge (not in RePEc) Viceira, Luis M. (Harvard University)

Score contribution per author:

0.503 = (α=2.01 / 4 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count