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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Journal ArticleDOI
The Term Structure of Variance Swap Rates and Optimal Variance Swap Investments
TL;DR: In this article, the authors perform specification analysis on the term structure of variance swap rates on the S&P 500 index and study the optimal investment decision on the variance swaps and the stock index.
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Strategic Asset Allocation
TL;DR: In this paper, a quantitative and systematic methodology for optimizing portfolios, from the determination of long-run fundamental pillars, through the modeling of asset returns and the assessment of market risks, is proposed.
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Stochastic lifestyling: Optimal dynamic asset allocation for defined contribution pension plans
TL;DR: In this article, the authors investigate asset allocation strategies open to members of defined-contribution pension plans with a model that incorporates asset, salary (labour-income) and interest-rate risk.
Book ChapterDOI
External Adjustment, Global Imbalances, Valuation Effects
Pierre-Olivier Gourinchas,Pierre-Olivier Gourinchas,Pierre-Olivier Gourinchas,Hélène Rey,Hélène Rey,Hélène Rey +5 more
TL;DR: An overview of the recent developments of the literature on the determinants of long-term capital flows, global imbalances, and valuation effects is provided in this article, where the main stylized facts of the new international financial landscape in which external balance sheets of countries have grown in size and discuss implications for the international monetary and financial system.
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Dynamic derivative strategies
TL;DR: In this article, the authors study optimal investment strategies given investor access not only to bond and stock markets but also to the derivatives market, and find sizable portfolio improvement from derivatives investing.
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.
Book ChapterDOI
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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