Strategic Asset Allocation in a Continuous-Time VAR Model

This note derives an approximate solution to a continuous-time intertemporal portfolio and consumption choice problem. The problem is the continuous-time equivalent of the discrete-time problem studied by Campbell and Viceira (1999), in which the expected excess return on a risky asset follows an AR(1)process, while the riskless interest rate is constant. The note also shows how to obtain continuous-time parameters that are consistent with discrete-time econometric estimates. The continuous-time solution is numerically close to that of Campbell and Viceira and has the property that conservative long-term investors have a large positive intertemporal hedging demand for stocks.

Aspects of Confinement and Chiral Dynamics in 2-d QED at Finite Temperature

We evaluate the Polyakov loop and string tension at zero and finite temperature in $QED_2.$ Using bozonization the problem is reduced to solving the Schr\"odinger equation with a particular potential determined by the ground state. In the presence of two sources of opposite charges the vacuum angle parameter $\theta$ changes by $2\pi (q/e)$, independent of the number of flavors. This, in turn, alters the chiral condensate. Particularly, in the one flavor case through a simple computer algorithm, we explore the chiral dynamics of a heavy fermion.Comment: 4 pages, 2 ps files, uses sprocl.sty. To appear in Proceedings of DPF96 (August, Minnesota