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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Optimal Portfolios with Defaultable Securities: A Firm Value Approach
Ralf Korn,Holger Kraft +1 more
TL;DR: In this article, a continuous-time portfolio optimization with defaultable bonds and stocks is proposed, where the investor has the opportunity to put her wealth into derivatives with counterparty risk or credit derivatives.
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A Dynamic Equilibrium Model of Imperfectly Integrated Financial Markets
TL;DR: A continous-time general equilibrium model of a two-country, pure-exchange economy featuring taxes on the repatriation of dividends is built, giving a full description of equilibrium in-between the polar cases of perfect integration and full segmentation.
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Measuring Market and Inflation Risk Premia in France and in Germany
Lorenzo Cappiello,Stephane Guene +1 more
TL;DR: In this article, the role of inflation in the determination of financial asset prices is investigated. And the authors find that inflation is a significant explanatory factor for the pricing of stocks and government bonds in the two countries, while there seems to be no clear structural break in the impact of inflation on asset prices after Stage Three of Economic and Monetary Union.
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Consumption and portfolio selection with labor income: A discrete-time approach
TL;DR: It is shown that liquidity constraints and uninsurable income risk reduce consumption and investment in the risky asset substantially from the levels for the case where no market imperfections exist.
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Bankers' compensation: : Sprint swimming in short bonus pools?
Esa Jokivuolle,Jussi Keppo +1 more
TL;DR: In this article, the authors find no robust relationship between risk-taking incentives and US banks' stock returns during the global financial crisis, and they suggest that regulating leverage would be more effective than regulating bankers' compensation.
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