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
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Optimal investment, consumption and life insurance under mean-reverting returns: The complete market solution
Traian A. Pirvu,Huayue Zhang +1 more
TL;DR: In this article, the problem of optimal investment, consumption and life insurance acquisition for a wage earner who has CRRA (constant relative risk aversion) preferences is solved by dynamic programming approach and the HJB equation has closed form solution.
Journal ArticleDOI
Choosing the optimal annuitization time post-retirement
TL;DR: In this paper, the authors formulated the problem of finding the optimal time of annuitization for a retiree having the possibility of choosing her own investment and consumption strategy as a combined stochastic control and optimal stopping problem.
Posted Content
Asset-Liability Management Under Time-Varying Investment Opportunities
TL;DR: In this article, a first-order unrestricted vector autoregressive process is used to model asset returns and state variables where, in addition to equity returns and dividend-price ratios, Nelson/Siegel parameters are included to account for the evolution of the yield curve.
Book ChapterDOI
Future Possibilities in Finance Theory and Finance Practice
TL;DR: The origins of much of the mathematics in modern finance can be traced to Louis Bachelier's 1900 dissertation on the theory of speculation, framed as an option-pricing problem as mentioned in this paper.
Journal ArticleDOI
The Costs of Suboptimal Dynamic Asset Allocation: General Results and Applications to Interest Rate Risk, Stock Volatility Risk, and Growth/Value Tilts
Linda Sandris Larsen,Claus Munk +1 more
TL;DR: This article developed a general theoretical framework for answering such questions and applied it to three specific models of interest rate risk, stochastic stock volatility, and mean reversion and growth/value tilts of stock portfolios.
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.
Journal ArticleDOI