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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A Utility-Based Model of Common Stock Price Movements
TL;DR: In this article, a nonlinear time series model is estimated based on a constant relative risk aversion (CRRA) utility function and an observable information set consisting of aggregate consumption, aggregate dividends, and past stock prices.
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Optimal design of derivatives in illiquid markets
Pauline Barrieu,Nicole El Karoui +1 more
TL;DR: In this paper, the optimal structure of derivatives written on an illiquid asset, such as a catastrophic or a weather event, is determined based on a utility maximization point of view.
Book
The Equity Home Bias Puzzle: A Survey
TL;DR: The economic significance of under-diversification and the various explanations for the equity home bias are discussed in this article and the implications of the home bias for investment and corporate finance.
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Why did the q theory of investment start working
TL;DR: The authors show that the relation between aggregate investment and Tobin's q has become remarkably tight in recent years, contrasting with earlier times, and connect this change with the growing empirical dispersion in Tobin' s q, which they show both in the cross-section and the time series.
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Management of a pension fund under mortality and financial risks
Donatien Hainaut,Pierre Devolder +1 more
TL;DR: In this article, the authors analyze the dividend policy and the asset allocation of a pension fund in a financial market composed of three assets: cash, stocks and a rolling bond, and determine investment and dividend policies maximizing the utility of dividends and of terminal surplus under a budget constraint.
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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