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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Finance: Function Matters, not Size.
TL;DR: In this paper, the authors argue that "I don't understand it" does not necessarily mean "it's bad, or "regulation will improve it" or "will improve it".
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Economic policies and the environment: the case of tree planting on low-income farms in the Philippines
TL;DR: In this paper, the authors investigate the potential for economic policies to influence environmental outcomes in low-income agriculture and investigate how changes in agricultural prices influence land-use decisions and environmental indicators.
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Optimal consumption and asset allocation with unknown income growth
TL;DR: Guvenen et al. as discussed by the authors studied an individual's optimal consumption-saving and portfolio choice problem when he does not observe his income growth, and found that the individual cannot fully insure himself against income shocks.
Book
Microfoundations of financial economics : an introduction to general equilibrium asset pricing
TL;DR: In this paper, the authors take the reader from the level of microeconomics principles through to modern asset pricing theory, and the reader is brought up to date on the latest areas of concern such as habit formation, the consequences of heterogeneity, demographic effects, changing tax regimes, market frictions, and implications of prospect theory for asset pricing.
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Recovery of Preferences from Observed Wealth in a Single Realization
Philip H. Dybvig,L. C. G. Rogers +1 more
TL;DR: In this article, the authors show that Von Neumann-Morgenstern preferences over terminal consumption can be inferred from wealth on a single sample path when markets are complete and returns follow a known law in a neoclassical investment problem in either a discrete-time i.i.d. binomial model or a continuous-time diffusion model with a Gaussian state variable.
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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