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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A Model of Creative Destruction with Undiversifiable Risk and Optimising Households
TL;DR: In this paper, the authors studied optimal household behavior in a model of creative destruction, where the saving technology is characterized by stochastic returns that follow a Poisson process and the equilibrium conditions with optimising households differ substantially from equilibrium conditions where investment in R&D is determined by firms.
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Portfolio theory when investment relatives are lognormally distributed
Edwin J. Elton,Martin J. Gruber +1 more
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Optimal portfolio selection with life insurance under inflation risk
Minsuk Kwak,Byung Hwa Lim +1 more
TL;DR: In this paper, a continuous-time optimal consumption, investment, and life insurance decision problem of a family under inflation risk is investigated, and the explicit solutions are derived for constant relative risk aversion (CRRA) utility case by using martingale approach.
Posted Content
Market Liquidity -- Theory and Empirical Evidence
TL;DR: In this article, the authors survey the theoretical and empirical literature on market liquidity, focusing on three basic questions: (a) how to measure illiquidity, (b) how illiquidness relates to underlying market imperfections and other asset characteristics, and (c) how expected asset returns.
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Optimal Sequential Investment Decisions Under Conditions of Uncertainty
TL;DR: In this paper, a mathematical model of sequential investment behavior under conditions of uncertainty is presented, where an investor with access to a limited pool of capital makes sequential decisions on long-lasting investments, under uncertainty as to the timing or the quality of future opportunities.
References
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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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