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
Citations
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Asset Pricing in a Production Economy with Incomplete Information
TL;DR: In this paper, it is shown that for Gaussian information structures under incomplete observations, the consumer's problem can be transformed into an equivalent program with a completely observed state: the conditional expectation of the underlying unobservable state variables.
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Portfolio Choice Problems
TL;DR: A broad overview of the broad portfolio choice literature can be found in this article, where the authors describe, discuss and illustrate through examples the different econometric approaches proposed in the literature for relating the theoretical formulation and solution of a portfolio choice problem to the data.
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Uncertain optimal control with application to a portfolio selection model
TL;DR: A fundamental result called the equation of optimality in uncertain optimal control is given, and as an application, this result is used to solve a portfolio selection model.
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Randomization and the American Put
TL;DR: In this paper, a semi-explicit approximation for American option values in the Black Scholes model was proposed, based on randomization, which yields an approximation that is both accurate and computationally efficient.
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Cognitive Dissonance, Sentiment, and Momentum
TL;DR: The authors empirically show that momentum profits arise only under optimism, and that losers (winners) become underpriced under optimism (pessimism) by short-selling constraints may impede arbitraging of losers and thus strengthen momentum during optimistic periods.
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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