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
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Journal ArticleDOI
Portfolio Choice With Puts: Evidence from Variable Annuities
Moshe A. Milevsky,V. Kyrychenko +1 more
TL;DR: In this paper, the authors investigate the actual portfolio choice and asset allocation behavior of individuals who acquire insurance in the form of an out-of-the-money long dated put option on their investment funds.
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Lifetime consumption-portfolio choice under trading constraints, recursive preferences, and nontradeable income
Mark Schroder,Costis Skiadas +1 more
TL;DR: In this paper, the authors studied the lifetime consumption-portfolio problem in a competitive securities market with continuous price dynamics, possibly nontradeable income, and convex trading constraints and showed that the solution reduces to a single constrained backward stochastic differential equation, which for an interesting class of incomplete market problems simplifies to a system of ordinary differential equations of the Riccati type.
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Hedging House Price Risk With Incomplete Markets
Joao F. Cocco,Joao F. Cocco +1 more
TL;DR: In this paper, a model of the optimal asset and consumption choices of a liquidity constrained investor who derives utility from the consumption of both non-durable consumption goods and housing is proposed.
Journal ArticleDOI
An Empirical Evaluation of an Induced Theory of Financial Ratios
TL;DR: In this paper, the authors used a long time series of four accounting ratios, taken from the Cambridge/DTI database of the accounts of UK listed companies, to assess whether the models advanced in this paper can be sustained at an empirical level.
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The Elephant in The Ground: Managing Oil and Sovereign Wealth
Ton S. van den Bremer,Ton S. van den Bremer,Ton S. van den Bremer,Frederick van der Ploeg,Frederick van der Ploeg,Samuel Wills +5 more
TL;DR: The authors showed that subsoil oil wealth should change a country's above-ground asset allocation in two ways: the holding of all risky assets is leveraged because there is additional wealth outside the fund, and more (less) is invested in financial assets that are negatively (positively) correlated with oil to hedge against the riskiness of sub-soil exposure.
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