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
Citations
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Risk Management with Benchmarking
TL;DR: In a dynamic setting, it is demonstrated how a risk-averse portfolio manager optimally under- or overperforms a target benchmark under different economic conditions, depending on his attitude towards risk and choice of the benchmark.
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Uncertain Lifetimes, Retirement and Economic Welfare
TL;DR: In this paper, it is shown that the decision to retire earlier or later depends on the old-age saving behavior, and that the effect of intertemporal substitutions, arising from the imperfection of the annuity market, could produce a tilt to the reservation wage profile, which makes early retirement possible.
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Optimal investment and consumption in a Black¿Scholes market with Lévy-driven stochastic coefficients.
TL;DR: In this paper, an optimal investment and consumption problem for an investor who trades in a Black-Scholes financial market with stochastic coefficients driven by a non-Gaussian Ornstein-Uhlenbeck process is investigated.
Posted Content
Mean-Variance Portfolio Choice: Quadratic Partial Hedging
TL;DR: In this paper, the problem of mean-variance portfolio choice with bankruptcy prohibition was investigated, and the optimal strategies of partial hedging for quadratic loss function were derived.
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Age dependent investing: Optimal funding and investment strategies in defined contribution pension plans when members are rational life cycle financial planners
TL;DR: In this paper, the authors investigated the optimal investment strategy for a defined contribution pension plan under the assumption that the member is a rational life cycle financial planner and has an Epstein-Zin utility function, which allows a separation between risk aversion and the elasticity of intertemporal substitution.
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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