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
More filters
Journal ArticleDOI
Time‐Invariant Portfolio Insurance Strategies
TL;DR: In this paper, the authors characterize the complete class of time-invariant portfolio insurance strategies and derive corresponding value functions that relate the wealth accumulated under the strategy to the value of the underlying insured portfolio.
Journal ArticleDOI
Capital Market Imperfection, the Consumption Function, and the Effectiveness of Fiscal Policy
Walter P. Heller,Ross M. Starr +1 more
TL;DR: In this paper, the authors derive a conventional macroeconomic consumption function from macroeconomic intertemporal consumer behavior and show that expansionary fiscal policy need not be ineffective even when the future tax implications of an increase in current government debt finance are perfectly foreseen.
Journal ArticleDOI
On the Portfolio Properties of Real Estate in Good Times and Bad Times1
TL;DR: In this paper, the authors examined the gains in portfolio performance when investors diversify into different asset classes, with particular focus on the timeliness of such gains, and they found that real estate and commodities and precious metals are the two asset classes that deliver portfolio gains when consumption growth is low and/or volatile, that is, when investors really care for such benefits.
Journal ArticleDOI
Is There a Neglected Firm Effect
Steven A. Carvell,Paul Strebel +1 more
TL;DR: In this article, the authors examined the statistical basis of the neglected firm effect: whether it is indeed statistically distinct from the small firm and January effects or not, and the results reported are obtained from the use of superior data bases and a more rigorous statistical analysis.
Journal ArticleDOI
Asset-Liability Management under time-varying Investment Opportunities
TL;DR: In this paper, a first-order unrestricted vector autoregressive process is used to model predictability in the asset returns and the state variables, where - additional to equity returns and dividend-price ratios - Nelson/Siegel parameters are included to account for the evolution of the yield curve.
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