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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Quadratic Variance Swap Models
TL;DR: In this paper, the authors introduce a novel class of term structure models for variance swaps, where the multivariate state process is characterized by a quadratic diffusion function and the variance swap curve is quadratically in the state variable and available in closed form.
Journal ArticleDOI
On the smoothness of value functions and the existence of optimal strategies in diffusion models
TL;DR: For time-homogeneous optimal control problems with a one-dimensional diffusion, it is proved that the corresponding value function must be twice continuously differentiable under Lipschitz, growth, and non-vanishing-volatility conditions.
Book ChapterDOI
Stochastic programming models for asset liability management
TL;DR: In this paper, the authors introduce stochastic programming models for asset and liability management (ALM) and present a canonical model for portfolio management based on scenario-generation methods.
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Dynamic pairs trading using the stochastic control approach
Agnès Tourin,Raphael Yan +1 more
TL;DR: In this paper, a model for analyzing dynamic pairs trading strategies using the stochastic control approach is proposed, where the portfolio consists of a bank account and two co-integrated stocks and the objective is to maximize for a fixed time horizon, the expected terminal utility of wealth.
Posted Content
Comonotonic Approximations for Optimal Portfolio Selection Problems
TL;DR: In this article, the authors investigate multi-period portfolio selection problems in a Black & Scholes type market where a basket of 1 risk free and m risky securities are traded continuously and propose accurate approximations based on the concept of comonotonicity, as studied in Dhaene, Denuit, Goovaerts, Kaas & Vyncke.
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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