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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Proceedings ArticleDOI
Consumption-investment models with constraints
TL;DR: The author treats a general consumption and investment problem for a single agent who consumes and distributes his wealth, dynamically, between a bond and a stock as a smooth solution of the associated Bellman equation.
Journal ArticleDOI
Convergence of utility functions and convergence of optimal strategies
Elyès Jouini,Clotilde Napp +1 more
TL;DR: In this paper, the stability of the optimal investment-consumption strategy with respect to the choice of the utility function was studied in the L 1 − ε − p case.
Journal ArticleDOI
Robust portfolio choice with derivative trading under stochastic volatility
TL;DR: In this article, the optimal portfolio for an ambiguity averse investor who has access to stock and derivatives markets is determined for a stochastic volatility jump-diffusion process and the investor can have different levels of uncertainty about the diffusion parts of the stock and its volatility.
Merging Asset Allocation and Longevity Insurance: An Optimal Perspective on Payout Annuities
Peng Chen,Moshe A. Milevsky +1 more
TL;DR: In this paper, Chen et al. revisited the importance of longevity insurance while discussing the problems with fixed payout annuities and then moved on to address the proper asset allocation between conventional financial assets and variable payout annuity products.
Journal ArticleDOI
Optimal Consumption and Savings with Stochastic Income and Recursive Utility
TL;DR: This paper developed a tractable incomplete-market model with an earnings process Y subject to permanent shocks and borrowing constraints, which can generate empirically plausible values for marginal propensities to consume in the range of 0.2 to 0.6.
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.
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