Optimum consumption and portfolio rules in a continuous-time model☆
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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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Monte Carlo and quasi-Monte Carlo methods 2004
Harald Niederreiter,Denis Talay +1 more
TL;DR: In this article, the authors proposed a linear lattice rule based on the Weighted Star Discrepancy of Digital Nets in prime bases and explained effective low-dimensionality.
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Merton's portfolio optimization problem in a Black and Scholes market with non-Gaussian stochastic volatility of Ornstein-Uhlenbeck type
TL;DR: In this article, the authors study Merton's classical portfolio optimization problem for an investor who can trade in a risk-free bond and a stock, where the goal of the investor is to allocate money so that her expected utility from terminal wealth is maximized.
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Dynamic Trading Policies With Price Impact
Hua He,Hua He,Harry Mamaysky +2 more
TL;DR: In this paper, the optimal policy for a risk averse agent who wants to sell a large block of shares of a risky security in the presence of price impact and transactions costs is analyzed.
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Portfolio Choice with Internal Habit Formation: A Life-Cycle Model with Uninsurable Labour Income Risk
TL;DR: In this paper, a life-cycle model of consumption and portfolio choice with liquidity constraints, undiversifiable labor income risk and stock-market participation costs is proposed to explain asset pricing puzzles.
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Consumption and portfolio rules for time-inconsistent investors
Jesús Marín-Solano,Jorge Navas +1 more
TL;DR: This paper extends the classical consumption and portfolio rules model in continuous time to the framework of decision-makers with time-inconsistent preferences and derives a modified HJB (Hamilton-Jacobi-Bellman) equation to solve the problem for sophisticated agents.
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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