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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Expected Option Returns
Joshua D. Coval,Tyler Shumway +1 more
TL;DR: The authors examines expected option returns in the context of mainstream asset pricing theory and shows that option risk can be thought of as consisting of two separable components, i.e., leverage effect and systematic stochastic volatility.
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Investor Attention: Overconfidence and Category Learning
Wei Xiong,Wei Xiong,Lin Peng +2 more
TL;DR: The authors show that limited investor attention leads to ''category-learning'' behavior, i.e., investors tend to process more market and sector-wide information than firm-specific information, which generates important features observed in return comovement that are otherwise difficult to explain with standard rational expectations models.
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On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation
TL;DR: In this paper, the authors examined the economic and statistical signi cantance of two types of asymmetries for asset allocation decisions in an out-of-sample setting and concluded that capturing skewness and asymmetric dependence leads to gains that are economically and statistically signifi cant in some cases.
Posted Content
Capacity Management, Investment, and Hedging: Review and Recent Developments
Van Mieghem,A Jan +1 more
TL;DR: This paper reviews models of capacity investment under uncertainty in three settings and reviews how to incorporate risk aversion in capacity investment and contrasts hedging strategies involving financial versus operational means.
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OPTIONS ON THE MINIMUM OR THE MAXIMUM OF TWO RISKY ASSETS Analysis and Applications
TL;DR: In this article, the authors provide analytical formulas for European put and call options on the minimum or the maximum of two risky assets, which are useful to price a wide variety of contingent claims of interest to financial economists.
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.
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