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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Transaction costs, trading volume, and the liquidity premium
TL;DR: In this paper, the authors derive explicit formulas for the optimal investment policy, its implied welfare, liquidity premium, and trading volume in a market with one safe and one risky asset, where an investor with a long horizon, constant investment opportunities and constant relative risk aversion trades with small proportional transaction costs.
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Dynamic portfolio choice under ambiguity and regime switching mean returns
TL;DR: In this article, the authors examine a continuous-time intertemporal consumption and portfolio choice problem under ambiguity, where expected returns of a risky asset follow a hidden Markov chain.
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An Asymptotic Expansion Scheme for Optimal Investment Problems
TL;DR: In this article, a new computational scheme for the evaluation of the optimal portfolio for investment is proposed based on an extension of the asymptotic expansion approach which has been recently developed for pricing problems of the contingent claims' analysis.
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Portfolio management with constraints
Phelim P. Boyle,Weidong Tian +1 more
TL;DR: In this article, the authors investigate the optimal portfolio selection problem for an investor who desires to outperform some benchmark index with a certain confidence level, and investigate the procedure for both deterministic and stochastic benchmarks.
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General Equilibrium Stock Index Futures Prices: Theory and Empirical Evidence
TL;DR: In this paper, a closed-form general equilibrium model of stock index futures prices in a continuous-time economy with stochastic interest rates and market volatility is developed, and it is shown that futures prices implied by the model have very different properties from those of the cost of carry model.
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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