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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Mean–variance, mean–VaR, and mean–CVaR models for portfolio selection with background risk
TL;DR: In this article, Jiang et al. investigated the impact of background risk on an investor's portfolio choice in the mean-variance, mean-VaR, and mean-CVaR framework, and analyzed the characterization of the meanvariance boundary and efficient frontiers.
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Equilibrium Portfolios and External Adjustment under Incomplete Markets
TL;DR: In this paper, the authors introduce equity holdings and portfolio choice into an otherwise conventional open-economy dynamic equilibrium model and derive a necessary and sufficient condition under which the current account is different from zero and shed light on the relationship between market incompleteness and current account dynamics.
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Asymptotic Analysis for Optimal Investment in Finite Time with Transaction Costs
TL;DR: In this paper, an agent who invests in a stock and a money market account with the goal of maximizing the utility of her investment at the final time $T$ in the presence of a proportional transaction cost was considered.
Book ChapterDOI
A Class of Homothetic Forward Investment Performance Processes with Non-zero Volatility
TL;DR: In this article, the authors studied the class of homothetic preferences in a single stochastic factor model and analyzed the solutions of this problem in detail, and also provided two examples for specific dynamics of the Stochastic Factor, specifically, log-mean reverting and Heston-type dynamics.
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Robust Mean-Variance Portfolio Selection
TL;DR: The authors analytically and numerically show that, under model misspecification, the use of statistically robust estimates instead of the widely used classical sample mean and covariance is highly beneficial for the stability properties of the mean-variance optimal portfolios.
References
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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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