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
Reverse Mortgages and Interest Rate Risk
TL;DR: In this article, the authors developed and applied a valuation model that quantifies the interest rate risk inherent in fixed-rate reverse mortgages, and they found that the risk of a reverse mortgage is greater than that of either a typical coupon bond or a regular mortgage.
Journal ArticleDOI
Finite Horizon Optimal Investment and Consumption with Transaction Costs
TL;DR: This paper concerns continuous-time optimal investment and the consumption decision of a constant relative risk aversion (CRRA) investor who faces proportional transaction costs and a finite time horizon and presents an analytical approach to analyze the behaviors of free boundaries.
Journal ArticleDOI
Optimal investment in derivative securities
TL;DR: The problem of optimal investment in a risky asset, and in derivatives written on the price process of this asset, when the underlying asset price process is a pure jump Lévy process is considered.
Journal ArticleDOI
Human Capital as an Asset Class Implications from a General Equilibrium Model
TL;DR: In this article, the authors derived the value and risk of aggregate human capital in a stochastic equilibrium model with Duffie-Epstein preferences, where the factors are the market, the capital share, and investment in human capital.
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