Life-Cycle Consumption Plans and Portfolio Policies in a Heath-Jarrow-Morton Economy

This paper applies the methods of Detemple, Garcia, and Rindisbacher (2003, 2005) and derives explicit optimal lifetime consumption-portfolio plans in an economy whose …xed-income sector is characterized by an N-factor Heath-Jarrow-Morton (1992) model that is Markovian in 3N state variables.