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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Portfolio optimization in a Lévy market with intertemporal substitution and transaction costs
TL;DR: In this article, an infinite horizon investment-consumption model is proposed in which a single agent consumes and distributes her wealth between a risk-free asset (bank account) and several risky assets (stocks).
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Production technologies in stochastic continuous time models
Klaus Wälde,Klaus Wälde +1 more
TL;DR: In this article, closed-form solutions for models which are tractable but do not suffer from undesirable features such as potentially negative output have been proposed for a large class of stochastic general equilibrium models.
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Optimal limit order choice
John K. Wald,Holly Horrigan +1 more
TL;DR: In this paper, the authors describe a method for optimally choosing whether to place a market or limit order (and at what price) using a risk-averse investor's expected utility maximization.
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An optimal portfolio problem in a defaultable market
TL;DR: In this article, the authors consider a portfolio optimization problem in a defaultable market, where an investor can dynamically choose a consumption rate and allocate his/her wealth among three financial securities: defaultable perpetual bonds, a default-free risky asset, and a money market account.
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Optimal reinsurance and investment problem for an insurer with counterparty risk
TL;DR: In this article, the optimal proportional reinsurance and investment problem for an insurer in a defaultable market is analyzed, where the insurer can allocate his/her wealth among the following securities: a bank account, a risky stock asset and a corporate bond.
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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