Optimum consumption and portfolio rules in a continuous-time model☆
TLDR
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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Growth and risk-sharing with incomplete international assets markets
Michael B. Devereux,Makoto Saito +1 more
TL;DR: In this paper, a general equilibrium model of limited international asset trade in a two-country setting was developed, where only non-contingent claims can be traded in international assets markets.
Dissertation
On crises, crashes and comovements
TL;DR: In this article, the authors provide answers to the questions regarding the magnitude of the effects on specific fields in finance and the precise impact of the different factors have yet to be resolved from an investor's perspective.
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The Gambler's and Hot-Hand Fallacies: Theory and Applications
TL;DR: In this paper, the authors develop a model of the gambler's fallacy, the mistaken belief that random sequences should exhibit systematic reversals, and show that an individual who holds this belief and observes a sequence of signals can exaggerate the magnitude of changes in an underlying state but underestimate their duration.
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Decreasing risk aversion and mean-variance analysis
TL;DR: The authors formule un ensemble de postulats d'aversion pour le risque absolu decroissant and montre que seules les fonctionnelles d'utilite moyenne-variance peuvent les satisfaires.
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Optimal portfolios when volatility can jump
TL;DR: In this article, the authors consider an asset allocation problem in a continuous-time model with stochastic volatility and jumps in both the asset price and its volatility, and derive the optimal portfolio for an investor with constant relative risk aversion.
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.
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