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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Utility maximization in incomplete markets
TL;DR: In this article, the authors consider the problem of utility maximization for small traders on incomplete flnancial markets, and show that the optimal trading strategy for a small traders underly constraints described by closed, but not necessarily convex, sets is optimal.
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Periodic market closure and trading volume: A model of intraday bids and asks☆
TL;DR: In this article, the effect of periodic stock market closure on transactions demand and volume of trade, and consequently bid and ask prices is examined, and it is shown that transactions demand at open and close is greater and less elastic than at other times of the trading day.
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Monetary Policy and the Redistribution Channel
TL;DR: In this paper, the role of redistribution in the transmission mechanism of monetary policy to consumption has been evaluated using consumer theory, and it has been shown that redistribution has aggregate effects whenever marginal propensities to consume (MPCs) covary, across households, with balancesheet exposures to aggregate shocks.
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High frequency data in financial markets: Issues and applications
Charles Goodhart,Maureen O'Hara +1 more
TL;DR: In this article, the authors set out some of the many important issues connected with the use, analysis, and application of high-frequency data sets, including the effect of market structure on the availability and interpretation of the data, methodological issues such as the treatment of time, the effects of intra-day seasonals, and the effects on time-varying volatility, and information content of various market data.
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.
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