Optimum consumption and portfolio rules in a continuous-time model☆
Reads0
Chats0
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
More filters
Journal ArticleDOI
A generalization of the mutual fund theorem
Ajay Khanna,Martin Kulldorff +1 more
TL;DR: A generalization of the continuous time mutual fund theorem is given, with no assumptions made on the investors utility functions for consumption and final wealth, except that they are time-additive and non-decreasing.
Journal ArticleDOI
Optimal Value and Growth Tilts in Long-Horizon Portfolios
Jakub W. Jurek,Luis M. Viceira +1 more
TL;DR: In this paper, the authors developed an analytical solution to the dynamic portfolio choice problem of an investor with power utility defined over wealth at a finite horizon, who faces a time-varying investment opportunity set, parameterized using a flexible vector autoregression.
Journal ArticleDOI
Momentum and Mean Reversion in Strategic Asset Allocation
TL;DR: In this paper, the authors study a dynamic asset allocation problem in which stock returns exhibit short-run momentum and long-run mean reversion and develop a tractable continuous-time model that captures these two predictability features and derive the optimal investment strategy in closed form.
Journal ArticleDOI
Equity portfolios generated by functions of ranked market weights
TL;DR: In this article, a stochastic differential equation is used to decompose the relative return into two components: the logarithmic change in the value of the generating function, and a drift process that is of bounded variation.
Journal ArticleDOI
VaR Risk Measures versus Traditional Risk Measures: an Analysis and Survey
Guy Kaplanski,Yoram Kroll +1 more
TL;DR: In this article, the authors present an analysis and survey regarding the validity of VaR risk measures in comparison to traditional risk measures and conclude that although VaR is an inadequate measure within the expected utility framework, it is at least as good as other traditional risk measure.
References
More filters
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.
Journal ArticleDOI