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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Expo-Power Utility: A ‘Flexible’ Form for Absolute and Relative Risk Aversion
TL;DR: In this paper, a new utility function called expo power was proposed that exhibits decreasing, constant, or increasing absolute risk aversion and decreasing or increasing relative risk aversion, depending on parameter values.
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Optimal Dividends: Analysis with Brownian Motion. .
Hans U. Gerber,Elias S.W. Shiu +1 more
TL;DR: In this article, it was shown that the sum of the discounted dividends until ruin is a compound geometric random variable with exponentially distributed summands, and that the optimal level b* is the value of b for which the expectation of D is maximal.
Posted Content
Continuous-Time Mean-Variance Portfolio Selection with Bankruptcy Prohibition
TL;DR: In this article, a continuous-time mean-variance portfolio selection problem is studied where all the market coefficients are random and the wealth process under any admissible trading strategy is not allowed to be below zero at any time.
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Optimal Portfolio Choice and the Valuation of Illiquid Securities
TL;DR: In this article, the authors analyze a model where investors are restricted to trading strategies that are of bounded variation, and show that large price discounts can be sustained in a rational model.
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Risk-Based Premiums for Insurance Guaranty Funds
TL;DR: Risk-based premium formulas are developed for three cases: a) an ongoing insurer with stochastic assets and liabilities, b) a ongoing insurer also subject to jumps in liabilities (catastrophes), and c) a policy cohort, where claims eventually run off to zero.
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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