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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Agency Conflicts, Investment, and Asset Pricing
TL;DR: This paper developed an analytically tractable dynamic stochastic general equilibrium model to study asset pricing and welfare implications of imperfect investor protection, which predicts that countries with weaker investor protection have more incentives to overinvest, lower Tobin's q, higher return volatility, larger risk premium, and higher interest rate.
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Consumption correlatedness and risk measurement in economies with non-traded assets and heterogeneous information
TL;DR: In this article, a technique is presented for deriving equilibrium models of asset risk premia in continuous time models which does not require the complete solution of a consumer's continuous time stochastic control problem.
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A General Equilibrium Model of International Portfolio Choice
TL;DR: In this article, the authors investigate whether a bias in consumption towards domestic goods will necessarily lead to a preference for domestic securities in a two-country general equilibrium model, and they show that an investor's optimal portfolio is biased towards domestic equity only if she is less risk averse than an investor with log utility.
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Optimal investment strategies in the presence of a minimum guarantee
TL;DR: In this article, the authors consider the problem of a De…ned Contribution Pension Fund in the presence of a minimum guarantee, where the goal is to maximize the expected util-ity function of the terminal wealth under the constraint that the terminal Wealth must exceed the minimum guarantee.
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Asymptotic analysis for optimal investment and consumption with transaction costs
Karel Janeček,Steven E. Shreve +1 more
TL;DR: A heuristic and a rigorous derivation of the asymptotic expansion of the value function in powers of $\lambda^{1/3}$ are provided and results on the boundary of the “no-trade” region are obtained.
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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