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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Stock Market Trading Volume
TL;DR: In this article, the authors focus on the empirical characteristics of prices and volume in stock markets and derive a link between economic fundamentals and the dynamic properties of asset returns and volume, which can be used by all investors to hedge against changes in market conditions.
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A generalized stochastic differential utility
Ali Lazrak,Marie Claire Quenez +1 more
TL;DR: A utility functional of state-contingent consumption plans that exhibits a local dependency with respect to the utility intensity process (the integrand of the quadratic variation) and is called the generalized SDU, which permits more flexibility in the separation between risk aversion and intertemporal substitution.
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Linear Contracts and the Double Moral-Hazard*
Son Ku Kim,Susheng Wang +1 more
TL;DR: In this paper, the authors studied the characteristics of optimal contracts when the agent is risk-averse in the double moral-hazard situation in which the principal also participates in the production process and found that the agent's optimal incentive scheme in this case is unique and non-linear, but less sensitive to output than would be designed under a single moral hazard.
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Zipf's Law, Pareto's Law, and the Evolution of Top Incomes in the United States†
Shuhei Aoki,Makoto Nirei +1 more
TL;DR: This article constructed a tractable neoclassical growth model that generates Zipf's law of the firm size distribution from idiosyncratic, firm-level productivity shocks, and evaluated how changes in tax rates can account for the evolution of top incomes in the United States.
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Financial Asset-Pricing Theory and Stochastic Programming Models for Asset/ Liability Management: a Synthesis
TL;DR: In this paper, the authors present aggregation methods that can be used in combination with financial asset-pricing models to obtain a description of the uncertainty that is arbitrage-free, consistent with observed market prices as well as concise enough for a stochastic programming 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.
Book ChapterDOI
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.
Journal ArticleDOI