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
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Consumption and Portfolio Rules for Time-Inconsistent Investors
Jesús Marín-Solano,Jorge Navas +1 more
TL;DR: In this article, the authors extended the classical consumption and portfolio rules model to the framework of decision-makers with time-inconsistent preferences, and solved for different utility functions for both, naive and sophisticated agents, and the results are compared.
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Optimal risk management in defined benefit stochastic pension funds
TL;DR: In this article, a continuous time dynamic pension funding model in a defined benefit plan of an employment system is considered, where benefits liabilities are random, given by a geometric Brownian process, and the main objective is to minimize both the contribution rate risk and the solvency risk.
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Portfolio selection with uncertain exit time: A robust CVaR approach
TL;DR: In this paper, the authors explore the portfolio selection problem involving an uncertain time of eventual exit and present a method for specifying the uncertain information on the distribution of the exit time associated with exogenous and endogenous incentives.
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Valuing private equity
TL;DR: In this paper, the authors investigate whether the performance of PE investments is sufficient to compensate investors for risk, long-term illiquidity, management, and incentive fees charged by the general partner (GP).
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Costly arbitrage and idiosyncratic risk: Evidence from short sellers ☆
TL;DR: In this paper, the authors focus on the idiosyncratic risk which, regardless of the arbitrageur's level of diversification, deters arbitrage activity and find that among high short interest stocks, a one standard deviation increase in idiosyncratic risks predicts a more than 1% decline in monthly returns.
References
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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.
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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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