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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Journal ArticleDOI
The Portfolio-Balance Model of Exchange Rates and Some Structural Estimates of the Risk Premium (Modèle d'équilibre de portefeuilles appliqué aux taux de change et certaines estimations (structurelles) de la prime de risque) (El modelo de equilibrio de cartera para los tipos de cambio y algunas estimaciones estructurales de la prima de riesgo)
Michael P. Dooley,Peter Isard +1 more
TL;DR: In this article, the authors focus on the portfolio-balance model as a framework for addressing several unresolved issues about the behavior of exchange rates and conclude that risk premiums have not played a prominent role in exchange rate determination and exchange rate changes have been largely unexpected by market participants.
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Logarithmic Preferences, Myopic Decisions, and Incomplete Information
TL;DR: In this paper, the authors examined a dynamic production economy with incomplete information and showed that the set of myopic preferences, those that induce myopic decisions, depends on the representation of the information flow.
Posted Content
Consumption Commitments: Neoclassical Foundations for Habit Formation
Adam Szeidl,Raj Chetty +1 more
TL;DR: In this paper, consumption and portfolio choice in a model where agents have neoclassical preferences over two consumption goods, one of which involves a commitment in that its consumption can only be adjusted infrequently.
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Markowitz's Mean-Variance Asset–Liability Management with Regime Switching: A Multi-Period Model
Ping Chen,Hailiang Yang +1 more
TL;DR: In this article, the authors considered an optimal portfolio selection problem under Markowitz's mean-variance portfolio selection in a multi-period regime-switching model, where the return of each security at a fixed time point is a random variable.
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Risk aversion and block exercise of executive stock options
TL;DR: In this paper, the optimal exercise behavior for a risk-averse executive who is granted multiple stock options is analyzed. But, the authors do not consider the impact of multiple exercise dates on estimates of the cost of options to the company and assume that the executive can only exercise on a single occasion.
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