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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Models of resource markets and the explanation of resource price behaviour
TL;DR: This paper surveys the characteristics of exhaustible resource markets that are likely to be important for the development of successful positive models and discusses exploration and its relationship to production and market price, the effects of various forms of uncertainty on price behaviour, and for some resources, the treatment of durability.
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Optimal Investment for Worst-Case Crash Scenarios: A Martingale Approach
TL;DR: This work sets up a nonprobabilistic crash model and considers an investor that seeks to maximize CRRA utility in the worst possible crash scenario, and recast the problem as a stochastic differential game; with the help of the fundamental notion of indifference strategies, completely solve the portfolio problem using martingale arguments.
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Utility Maximization Trading Two Futures with Transaction Costs
Maxim Bichuch,Steven E. Shreve +1 more
TL;DR: In this article, the first two terms in the asymptotic expansion of the value function in the transaction cost parameter around the known value function for the case of zero transaction cost were determined.
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On Worst-Case Portfolio Optimization
Ralf Korn,Mogens Steffensen +1 more
TL;DR: A worst-case portfolio optimization problem that technically appears as a game where the investor chooses a portfolio and his opponent, the market, chooses some market crashes is formulated.
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Futures trading with transaction costs
Karel Janeček,Steven E. Shreve +1 more
TL;DR: In this article, a probabilistic analysis is presented to identify the loss in value when a proportional transaction cost is introduced, and the authors balance the marginal costs of these two effects.
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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