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英文文献：Intertemporal Asset Allocation with Habit Formation in Preferences: An Approximate Analytical Solution
英文文献作者：Jean Jacod,Mark Podolskij,Mathias Vetter
英文文献摘要：
This paper presents some limit theorems for certain functionals of moving averages of semimartingales plus noise, which are observed at high frequency. Our method generalizes the pre-averaging approach (see [13],[11]) and provides consistent estimates for various characteristics of general semimartingales. Furthermore, we prove the associated multidimensional (stable) central limit theorems. As expected, we find central limit theorems with a convergence rate n1=4, if n is the number of observations.
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