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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Journal ArticleDOI
Dynamic Mean- Variance Asset Allocation
Suleyman Basak,Georgy Chabakauri +1 more
TL;DR: In this paper, the authors provide a simple characterization of the dynamically optimal mean-variance portfolios within a general incomplete-market economy and identify a probability measure that incorporates intertemporal hedging demands and facilitates tractability.
Journal ArticleDOI
Optimal consumption, portfolio and life insurance rules for an uncertain lived individual in a continuous time model
TL;DR: In this paper, a continuous time model for optimal consumption, portfolio and life insurance rules, for an investor with an arbitrary but known distribution of lifetime, is derived as a generalization of the model by Merton.
Book ChapterDOI
Stochastic Optimal Control
TL;DR: In the long history of mathematics, stochastic optimal control is a rather recent development using Bellman's Principle of Optimality along with measure-theoretic and functional-analytic methods.
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Optimal investment strategies for controlling drawdowns
TL;DR: In this paper, the optimal risky investment policy for an investor who, at each point in time, wants to lose no more than a fixed percentage of the maximum value his wealth has achieved up to that time is analyzed.
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Learning to trade via direct reinforcement
John Moody,Matthew Saffell +1 more
TL;DR: It is demonstrated how direct reinforcement can be used to optimize risk-adjusted investment returns (including the differential Sharpe ratio), while accounting for the effects of transaction costs.
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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