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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Optimal portfolios with regime switching and value-at-risk constraint
TL;DR: This work considers the optimal portfolio selection problem subject to a maximum value-at-Risk (MVaR) constraint when the price dynamics of the risky asset are governed by a Markov-modulated geometric Brownian motion.
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Note---On the Maximization of the Geometric Mean with Lognormal Return Distribution
Edwin J. Elton,Martin J. Gruber +1 more
TL;DR: In this paper, the authors discuss the relevancy of the geometric mean as a portfolio selection criteria and present a procedure for finding that portfolio with the highest geometric mean when returns on portfolios are lognormally distributed.
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Asset Pricing in Markets with Illiquid Assets
TL;DR: In this paper, the authors study the asset-pricing implications of illiquidity in a two-asset exchange economy with heterogeneous agents and present examples in which a liquid asset can be worth up to 25 percent more than an illiquid asset even though both have identical cash flow dynamics.
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Optimal consumption and portfolio decisions with partially observed real prices
TL;DR: In this paper, the optimal consumption and portfolio investment problem of an investor who is interested in maximizing his utilities from consumption and terminal wealth subject to a random inflation in the consumption basket price over time is considered.
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Dynamic Asset Pricing Theory with Uncertain Time-Horizon
TL;DR: In this paper, the problem of pricing and hedging a random cash flow received at a random date in a general stochastic environment is addressed, and a necessary and sufficient condition for a convenient separation between adjustment for market risk and timing risk is provided.
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.
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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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