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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Risk Sensitive Portfolio Management with Cox--Ingersoll--Ross Interest Rates: The HJB Equation
TL;DR: In this paper, an application of risk sensitive control theory in financial decision making is presented, where the investor has an infinite horizon objective that can be interpreted as maximizing the portfolio's risk adjusted exponential growth rate.
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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.
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Dynamic programming for a Markov-switching jump–diffusion
TL;DR: A detailed proof of Bellman’s optimality principle is provided and the corresponding Hamilton–Jacobi–Belman equation is obtained, which turns out to be a partial integro-differential equation due to the extra terms arising from the Levy process and the Markov process.
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Incomplete Information Equilibria: Separation Theorems and Other Myths
TL;DR: Issues and concepts essential to understanding, implementing, and testing IIE and understanding its relation to complete information equilibria (CIE), a special case of IIE are examined.
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Dynamic asset pricing theory with uncertain time-horizon.
TL;DR: In this article, the problem of pricing and hedging a random cash flow received at a random date is addressed, and a characterization of the set of equivalent martingale measures is provided.
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.
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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