Optimum consumption and portfolio rules in a continuous-time model☆
Reads0
Chats0
TLDR
In this paper, the authors considered the continuous-time consumption-portfolio problem for an individual whose income is generated by capital gains on investments in assets with prices assumed to satisfy the geometric Brownian motion hypothesis, which implies that asset prices are stationary and lognormally distributed.About:
This article is published in Journal of Economic Theory.The article was published on 1971-12-01 and is currently open access. It has received 4952 citations till now. The article focuses on the topics: Geometric Brownian motion & Intertemporal portfolio choice.read more
Citations
More filters
Journal ArticleDOI
The Random Character of Stock Market Prices.
Journal ArticleDOI
Common stocks as a hedge against inflation
TL;DR: In this article, the authors defined the effectiveness of common stocks as an inflation hedge as the proportional reduction in that variance attainable by combining a "representative" well-diversified portfolio of common stock and the nominal bond in their variance minimizing proportions.
Journal ArticleDOI
Portfolio Choice in the Presence of Housing
Joao F. Cocco,Joao F. Cocco +1 more
TL;DR: In this paper, investment in housing plays a crucial role in explaining the patterns of cross sectional variation in the composition of wealth and the level of stockholdings observed in portfolio composition data.
Journal ArticleDOI
Dynamic Nonmyopic Portfolio Behavior
TL;DR: In this paper, the nonmyopic portfolio behavior of an investor who trades a risk-free and risky asset is derived for all HARA utility functions and a stochastic risk premium.
Journal ArticleDOI
Dynamic Equilibrium and the Real Exchange Rate in a Spatially Separated World
TL;DR: In this article, two homogeneous stocks of physical capital are located in two different countries, separated by an "ocean." They are consumed by local residents, invested in a random production process yielding real returns, or transferred abroad.
References
More filters
Journal ArticleDOI
Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case
TL;DR: In this paper, the combined problem of optimal portfolio selection and consumption rules for an individual in a continuous-time model was examined, where his income is generated by returns on assets and these returns or instantaneous "growth rates" are stochastic.
Book
The theory of stochastic processes
David Cox,Hilton D. Miller +1 more
TL;DR: This book should be of interest to undergraduate and postgraduate students of probability theory.
Book ChapterDOI
Lifetime Portfolio Selection By Dynamic Stochastic Programming
TL;DR: In this paper, the optimal consumption-investment problem for an investor whose utility for consumption over time is a discounted sum of single-period utilities, with the latter being constant over time and exhibiting constant relative risk aversion (power-law functions or logarithmic functions), is discussed.
Book
Stochastic Stability and Control
TL;DR: In this article, a book on stochastic stability and control dealing with Liapunov function approach to study of Markov processes is presented, which is based on the work of this article.
Journal ArticleDOI