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
Citations
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Journal ArticleDOI
Numerical solution of the Hamilton–Jacobi–Bellman formulation for continuous time mean variance asset allocation
J. Wang,Peter Forsyth +1 more
TL;DR: In this article, a finite difference method with fully implicit timestepping was used to solve the resulting nonlinear Hamilton-Jacobi-Bellman (HJB) PDE, and the solutions in terms of an efficient frontier and an optimal asset allocation strategy were presented.
DissertationDOI
Rational Hedging and Valuation with Utility-Based Preferences
TL;DR: Stochastic optimization problems in which concave functionals are maximized on spaces of stochastic integrals are studied in mathematical finance for a risk-averse investor who is faced with valuation, hedging, and optimal investment problems in incomplete financial markets.
Journal ArticleDOI
Real options and a large producer: the case of electricity markets
Jussi Keppo,Hao Lu +1 more
TL;DR: In this article, the authors extend the real option theory to consider the situation of a large producer and employ the model to electricity markets and show that this production's price effect has to be considered in the investment analysis if the company is not able to hedge the price effect in the financial markets.
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Optimal Retirement Consumption with a Stochastic Force of Mortality
TL;DR: In this article, the authors derive the optimal consumption rate and focus on the impact of mortality rate uncertainty versus simple lifetime uncertainty in the retirement phase where this risk plays a greater role.
Journal ArticleDOI
Risk sensitive asset allocation
TL;DR: In this article, the authors develop a continuous time modeling approach for making optimal asset allocation decisions, where macroeconomic and financial factors are explicitly modeled as Gaussian stochastic processes which directly affect the mean returns of the assets.
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