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
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On optimal portfolio trading strategies for an investor facing transactions costs in a continuous trading market
TL;DR: In this paper, the authors examined the portfolio trading problem for an investor who faces transactions costs and short sales constraints in a continuous time economy with general specifications of ask and bid prices.
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Portfolio Choices, Firm Shocks and Uninsurable Wage Risk
TL;DR: In this paper, the authors find that the marginal effect of uninsurable wage risk is much larger than estimates that ignore endogeneity, and they find that its overall effect is contained, not because its marginal effect is small but because its size is small.
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Not so demanding: preference structure, firm behavior, and welfare
Monika Mr,Lse J. Peter Neary +1 more
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Optimal Index Tracking Under Transaction Costs and Impulse Control
I. R. C. Buckley,Ralf Korn +1 more
TL;DR: In this article, the authors apply impulse control techniques to a cash management problem within a mean-variance framework and show the existence of an optimal strategy and compute it numerically.
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Robust option pricing
TL;DR: This paper combines robust optimization and the idea of ∊-arbitrage to propose a tractable approach to price a wide variety of options and shows computational tractability and modeling flexibility.
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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