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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Insurance and Precautionary Capital Accumulation in a Continuous-Time Model
TL;DR: In this paper, a necessary and sufficient condition is derived that guarantees a positive demand for insurance in the long run using stochastic continuous-time control techniques, and the effect of transitory and permanent changes in the price of insurance is also examined.
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Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases
TL;DR: It is suggested it is not optimal to manage the two phases of accumulation and decumulation separately, and outsourcing of allocation decisions should be avoided in both phases.
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The Management of Decumulation Risks in a Defined Contribution Pension Plan
TL;DR: In this article, the authors lay the theoretical foundations for the construction of a flexible tool that can be used by pensioners to find optimal investment and consumption choices in the distribution phase of a defined contribution pension plan.
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Asset allocation under loss aversion and minimum performance constraint in a DC pension plan with inflation risk
TL;DR: In this paper, an optimal investment strategy for a defined-contribution (DC) pension plan member who is loss averse, pays close attention to inflation and longevity risks and requires a minimum performance at retirement is investigated.
ReportDOI
A Mean-Variance Benchmark for Intertemporal Portfolio Theory
TL;DR: Mean-variance portfolio theory can apply to streams of payoffs such as dividends following an initial investment as mentioned in this paper, which is useful when returns are not independent over time and investors have nonmarketed income.
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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