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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An Asymptotic Theory of Growth Under Uncertainty
TL;DR: In this paper, the authors studied the optimal consumption-saving decision under uncertainty with a given linear production technology subject to uncertainty about technical progress, using a one-sector neoclassical growth model of the Solow-type.
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Dynamic Asset Allocation under Inflation
Michael J. Brennan,Yihong Xia +1 more
TL;DR: In this article, a simple framework for analyzing a finite-horizon investor's asset allocation problem under inflation when only nominal assets are available is developed, and the investor's optimal investment strategy and indirect utility are given in simple closed form.
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Optimal Consumption and Investment with Transaction Costs and Multiple Risky Assets
TL;DR: In this article, the authors consider the optimal intertemporal consumption and investment policy of a CARA investor who faces fixed and proportional transaction costs when trading multiple risky assets and show that when asset returns are uncorrelated, the optimal investment policy is to keep the dollar amount invested in each risky asset between two constant levels and upon reaching either of these thresholds, to trade to the corresponding optimal targets.
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Systemic Risk and International Portfolio Choice
Sanjiv Ranjan Das,Raman Uppal +1 more
TL;DR: In this paper, a multivariate system of jump-diffusion processes where the arrival of jumps is simultaneous across assets is used to determine an investor's optimal portfolio for this model of returns.
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Simulated likelihood estimation of diffusions with an application to exchange rate dynamics in incomplete markets
TL;DR: In this paper, an econometric method for estimating the parameters of a diffusion model from discretely sampled data is presented, which is transparent, adaptive, and inherits the asymptotic properties of the generally unattainable maximum likelihood estimator.
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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