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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Jump Risks and the Intertemporal Capital Asset Pricing Model
TL;DR: In this paper, the authors extend Merton's (1973a) intertemporal asset pricing model, in the special case of a constant investment opportunity set, to include discontinuous sample paths for asset prices.
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A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability
TL;DR: In this article, a simulation-based method for solving discrete-time portfolio choice problems involving non-standard preferences, a large number of assets with arbitrary return distribution, and, most importantly, a number of state variables with potentially path-dependent or non-stationary dynamics is presented.
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Optimal Contracts in a Continuous-Time Delegated Portfolio Management Problem
TL;DR: In this paper, the contracting problem between an individual investor and a professional portfolio manager in a continuous-time principal-agent framework is studied, and optimal contracts are obtained in closed form.
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The Pricing of Options on Default-Free Bonds
TL;DR: In this paper, the effect of such an approximation on the value of default free bonds and options on default-free bonds is more important since these liabilities depend only on the rate of interest.
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A variational problem arising in financial economics
John C. Cox,Chi-fu. Huang +1 more
TL;DR: In this article, the authors provide sufficient conditions for a dynamic consumption portfolio problem in continuous time to have a solution when the price processes satisfy a regularity condition, and all utility functions that are continuous, increasing, concave, and dominated by a strictly concave power function admit a solution.
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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