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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Predictability in Hedge Fund Returns (corrected)
TL;DR: In this paper, the authors investigated the predictability of returns emanating from hedge funds and found strong evidence of significant predictability in hedge fund returns, and they also found that the benefits of "tactical style allocation" portfolios are potentially large.
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The effect on optimal consumption of increased uncertainty in labor income in the multiperiod case
TL;DR: In this article, the authors consider a multiperiod, additive utility, optimal consumption model with a riskless investment and a stochastic labor income and show that consumption decreases when we go from any sequence of distribution functions representing labor income to a more risky sequence.
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The consumption based asset pricing model: A note on potential tests and applications
TL;DR: Breeden as discussed by the authors showed that Merton's multi-beta capital asset pricing model can be collapsed into a single-beta model where betas are computed with respect to aggregate consumption.
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Comonotonic approximations for optimal portfolio selection problems
TL;DR: In this article, the authors investigate multi-period portfolio selection problems in a Black & Scholes type market where a basket of 1 risk free and m risky securities are traded continuously and propose accurate approximations based on the concept of comonotonicity, as studied in Dhaene, Denuit, Goovaerts, Kaas & Vyncke.
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The return on investment from proportional portfolio strategies
TL;DR: In this paper, the authors study the rate of return on investment, dened here as the net gain in wealth divided by the cumulative investment, for such investment strategies in continuous time, and show that the limiting distribution of this measure of return is a gamma distribution.
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.
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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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