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
More filters
Journal ArticleDOI
Offsetting the Implicit Incentives: Benefits of Benchmarking in Money Management
TL;DR: In this article, the authors demonstrate how a simple risk management practice that accounts for benchmarking can ameliorate the adverse effects of managerial incentives, and contrast the conventional view that benchmarking a fund manager is not in the best interest of investors.
ReportDOI
Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies
TL;DR: In this paper, the optimal consumption and portfolio policies in an economy with incomplete financial markets where agents have power utility over intermediate consumption and bequest, and face portfolio constraints and a stochastic investment opportunity set are examined analytically.
Journal ArticleDOI
Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility
TL;DR: In this paper, the authors construct a general-equilibrium model of sentiment and identify the trading strategy that would allow an investor to take advantage of excessive stock price volatility and sentiment fluctuations.
Journal ArticleDOI
International risk sharing, learning by doing, and growth
TL;DR: The authors explored the influence of international risk sharing on aggregate growth for a country that trades with the rest of the world and showed that trade permits specialization in production which raises the growth rate of aggregate output.
References
More filters
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