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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Model Misspecification and Underdiversification
Raman Uppal,Tan Wang +1 more
TL;DR: In this paper, a framework that allows for ambiguity about not only the joint distribution of returns for all stocks in the portfolio, but also for different levels of ambiguity for the marginal distribution of return for any subset of these stocks was developed.
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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.
Posted Content
On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation
TL;DR: In this paper, the authors examined the economic and statistical significance of two types of asymmetries in the joint distribution of stock returns in an out-of-sample setting, and found that knowledge of higher moments and asymmetric dependence leads to gains that are economically significant, and statistically significant in some cases.
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Annuitization and asset allocation
TL;DR: In this paper, the authors examined the optimal annuitization, investment and consumption strategies of a utility-maximizing retiree facing a stochastic time of death under a variety of institutional restrictions.
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Wealth and portfolio composition: Theory and evidence
Mervyn A. King,Jonathan Leape +1 more
TL;DR: In this article, the authors examine a survey of 6010 U.S. households and estimate a model for household portfolio allocation to capture the observed incompleteness of household portfolios, and examine the impact of taxes on portfolio composition, using detailed survey data to calculate precisely the marginal tax rate facing each household.
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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