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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Model-based pairs trading in the bitcoin markets
P. S. Lintilhac,Agnès Tourin +1 more
TL;DR: Using stochastic control techniques, the optimal dynamic pairs trading strategy model for a portfolio of cointegrated assets is proposed and an out-of-sample test is conducted with historical data from three exchanges, with two cointegrating relations.
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Continuous-time portfolio optimization under terminal wealth constraints
Ralf Korn,Siegfried Trautmann +1 more
TL;DR: This work gives a common framework including both types of selection criteria as special cases by considering portfolio problems with terminal wealth constraints by proposing a solution method for such constrained problems.
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Betting on Death and Capital Markets in Retirement: A Shortfall Risk Analysis of Life Annuities versus Phased Withdrawal Plans
TL;DR: In this article, the authors evaluate several alternative designs for phased withdrawal strategies, allowing for endogenous asset allocation patterns, and also allowing the worker to make decisions both about when to retire and when to switch to an annuity.
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A Model of Returns and Trading in Futures Markets
TL;DR: In this paper, the authors develop an equilibrium model of a competitive futures market in which investors trade to hedge positions and to speculate on their private information, and generate time-tomaturity patterns in open interest and spot price volatility that are consistent with empirical findings.
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Numerical schemes for investment models with singular transactions
TL;DR: In this article, the authors considered an infinite horizon investment-consumption model in which a single agent consumes and distributes his wealth between two assets, a bond and a stock, and the problem of maximization of the total utility from consumption was treated, when state and control (consumption, rates of trading) constraints are present.
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