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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A particular class of continuous-time stochastic growth models☆
TL;DR: The authors generalizes the one-sector model by transforming the basic differential equation on the capital labor ratio into a stochastic differential equation, whose probability distributions vary with time, and focuses on the existence of a steady state denfined by the (probabilistic) stationarity of these variables.
Posted Content
Property Insurance, Portfolio Selection and Their Interdependence
Fwu-Ranq Chang,Fwu-Ranq Chang +1 more
TL;DR: In this article, the authors studied the interdependence between property insurance and portfolio selection and found that an increase in volatility would encourage those with a greater-than-unity relative risk aversion to purchase more insurance at the expense of current consumption.
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Behavioral Macroeconomics Via Sparse Dynamic Programming
TL;DR: In this paper, the authors propose a behavioral Bellman equation to model boundedly rational dynamic programming, where the agent uses an endogenously simplified or "sparse" model of the world and the consequences of his actions.
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Effects of Capital Gains Taxation on Life‐Cycle Investment and Portfolio Management
Yves Balcer,Kenneth L. Judd +1 more
TL;DR: In this paper, the authors examine the impact of capital income taxation, both accrual forms of taxation and taxation of realized capital gains, on total savings and the demand for corporate financial instruments.
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On the theory of sterilized foreign exchange intervention
TL;DR: The authors showed that when taxation is not sufficiently flexible in response to spending shocks, uncovered interest parity is replaced by a monotonically increasing relationship between the stock of domestic currency government debt and domestic interest rates.
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.
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