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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Journal ArticleDOI
The Stationary Distribution of Returns and Portfolio Separation in Capital Markets: A Fundamental Contradiction
Barr Rosenberg,James A. Ohlson +1 more
TL;DR: In this article, the behavior of asset demand, conditional upon a postulated probability distribution of returns, is examined, and it is shown that returns are serially independent and obey a stationary distribution.
Journal ArticleDOI
Homeownership as a Constraint on Asset Allocation
Stephen Day Cauley,Andrey D. Pavlov,Eduardo S. Schwartz,Eduardo S. Schwartz,Eduardo S. Schwartz +4 more
TL;DR: In this paper, the authors investigate the impact of homeownership on consumption, welfare, and post-retirement wealth, and find that a representative homeowner would require between a 2 and 25 percent increase in total net worth to achieve the same level of utility as would be achievable if the choice of a home could be separated from the asset allocation decision.
Book ChapterDOI
Chapter 14 The equity premium in retrospect
Rajnish Mehra,Edward C. Prescott +1 more
TL;DR: A critical review of the literature on the "equity premium puzzle" can be found in this paper, where the authors summarize the historical experience for the USA and other industrialized countries and details the intuition behind the discrepancy between model prediction and empirical data.
Journal ArticleDOI
Human Capital, Asset Allocation, and Life Insurance
TL;DR: In this article, a unified framework based on human capital that enables individual investors to make asset allocation and life insurance decisions jointly is presented. But human capital is not simply another pre-endowed asset class; it contains a unique mortality risk in the form of the loss of future income and wages in the event of the wage earner's death.
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Consumption and Investment Motives in Housing Wealth Accumulation: A French Study
Luc Arrondel,Bruno Lefebvre +1 more
TL;DR: In this article, Ioannides et al. showed that the difference between the investment demand for housing and the consumption demand that explains decisions to purchase dwellings for owner occupation and for renting out cannot in itself explain housing purchases.
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