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Author:Andersson, Hans 

Working Paper
Off-farm income and risk reduction in agriculture: when does it matter?
Investment behavior is analyzed using a dynamic portfolio model including off-farm income. The correlation structure of off-farm income and asset returns and the ratio of off-farm income to wealth is shown to affect portfolio choice. Empirical analysis indicates that off-farm income tends to increase farm assets.
AUTHORS: Andersson, Hans; Ramamurtie, Buddhavarapu Sailesh; Ramaswami, Bharat
DATE: 1995

Working Paper
An intertemporal model of consumption and portfolio allocation
We develop an infinite time horizon, continuous time model of portfolio choice and consumption allocation for an investor seeking to maximize the expected utility of his life-time consumption. In this model, the investor is endowed with capital that can be invested in long-lived capital assets and has, in addition, a stochastic stream of cash flows that could be interpreted as either a wage income stream or a stochastic endowment flow. We obtain a complete and original solution to the consumption-portfolio choice problem for the negative exponential and quadratic utility functions and special case solutions for the general power and log utility functions. The results obtained in this paper have significant implications for the theory of asset prices, the theory of mutual funds, optimal portfolio strategies of investors, and so forth. The results of the model can also be easily extended to one with a finite time horizon.
AUTHORS: Andersson, Hans; Ramamurtie, Buddhavarapu Sailesh; Ramaswami, Bharat
DATE: 1995

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