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
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Health and (Other) Asset Holdings
TL;DR: In this article, a tractable dynamic framework for the joint determination of optimal consumption, portfolio holdings, health investment and health insurance is proposed, which is consistent with the observed patterns of individual allocations and provides realistic estimates of the parameters that confirm the relevance of all the main characteristics of the model.
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Optimal consumption/investment policies with undiversifiable income risk and liquidity constraints
TL;DR: In this article, the continuous time optimal consumption and portfolio choice of an investor having an initial wealth endowment and an uncertain stream of income from non-traded assets is examined.
Book ChapterDOI
International Investment and Interest Rate Linkages under Flexible Exchange Rates
TL;DR: One of the main arguments against the Bretton Woods system of pegged exchange rates was that it seriously limited the freedom of Central Banks, with the exception of that of the United States, to use monetary policy for domestic stabilisation as mentioned in this paper.
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Intertemporal Commodity Futures Hedging and the Production Decision
TL;DR: In this paper, a stochastic dynamic programming (SDP) approach is used to analyze the effect of price and output uncertainties on a producer's consumption behavior in a continuous-time framework.
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Pension funds with a minimum guarantee: a stochastic control approach
TL;DR: In this paper, a continuous-time stochastic model of optimal allocation for a defined contribution pension fund with a minimum guarantee is proposed and analyzed. But the authors focus on the effect of the solvency constraint on the expected utility of the fund wealth.
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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