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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Book ChapterDOI
Chapter 11 The distribution of wealth
Jim Davies,Anthony F. Shorrocks +1 more
TL;DR: In this paper, the authors discuss the results of studies that assess the contributions of inheritance and lifecycle factors, and give attention also to a variety of related issues, such as the link between wealth status across generations, and the possible motives for leaving bequests.
Journal ArticleDOI
Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
TL;DR: It is proved that when there is no risk-free interest rate, this policy is equivalent to the policy that maximizes utility from terminal wealth, for a fixed terminal time, when the firm has an exponential utility function, which validates a longstanding conjecture about the relation between minimizing probability of ruin and exponential utility.
Journal ArticleDOI
Asset Pricing at the Millennium
TL;DR: A recent survey of the field of asset pricing can be found in this article, where the emphasis is on the interplay between theory and empirical work and on the trade-off between risk and return.
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Optimal Portfolio Choice for Long‐Horizon Investors with Nontradable Labor Income
TL;DR: In this paper, the authors examined how risky labor income and retirement affect optimal portfolio choice and found that the optimal allocation to stocks is unambiguously larger for employed investors than for retired investors, consistent with the typical recommendations of investment advisors.
Journal ArticleDOI
Intertemporally Dependent Preferences and the Volatility of Consumption and Wealth
TL;DR: In this article, a general equilibrium framework was proposed to rationalize the observed stickiness of the consumption series relative to the fluctuations in stock market wealth, and the sample paths of consumption generated from this model imply lower variability in consumption growth rates compared to those generated by models with separable utilizations.
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