Optimum consumption and portfolio rules in a continuous-time model☆
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
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Permanent and transitory income effects in a model of optimal consumption with wage income uncertainty
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An examination of dynamic hedging
TL;DR: The authors compare GARCH-modelled dynamic hedging strategies with traditional OLS-modeled strategies to determine which perform better, and find that dynamic hedges reduce risk more than static hedging, but only slightly.
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Robust portfolio choice with uncertainty about jump and diffusion risk
TL;DR: In this paper, the authors analyze the portfolio planning problem of an ambiguity averse investor and find that there are pronounced differences between ambiguity aversion with respect to diffusion risk and jump risk.
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Optimal risk-sharing with effort and project choice☆
TL;DR: This work considers first-best risk-sharing problems in which “the agent” can control both the drift (effort choice) and the volatility of the underlying process (project selection) and applies martingale/duality methods familiar from optimal consumption-investment problems.
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Portfolio Insurance in Complete Markets: A Note
TL;DR: In this paper, an elementary derivation of the optimal investment strategy of an investor who wants to assure that his investment in risky assets does not lead his wealth to fall below a predetermined floor is presented.
References
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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.
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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.
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