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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Nature or Nurture: What Determines Investor Behavior?
TL;DR: In this paper, identical and fraternal twins' complete financial portfolios were used to decompose the cross-sectional variation in investor behavior and found that a genetic factor explains about one third of the variance in stock market participation and asset allocation.
Posted Content
The Term Structure of the Risk-Return Tradeoff
TL;DR: This article proposed an empirical model that is able to capture complex dynamics, yet is simple to apply in practice, and explore its implications for asset allocation, showing that asset return predictability has important effects on the variance and correlation structure of returns on stocks, bonds and T-bills across investment horizons.
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Distributional properties of portfolio weights
Yarema Okhrin,Wolfgang Schmid +1 more
TL;DR: In this paper, the conditional density for the Sharpe ratio optimal weights were derived and the asymptotic distributions of the estimated weights were determined under the assumption that the returns follow a multivariate stationary Gaussian process.
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Adjustment Costs, Uncertainty, and the Behavior of the Firm
TL;DR: In this paper, the effects of demand and cost uncertainty on a firm's investment, output, and pricing decisions are examined, and it is shown that the effect of such uncertainties depend critically on the characteristics of the firm's adjustment costs.
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Paper millionaires: how valuable is stock to a stockholder who is restricted from selling it?
TL;DR: In this article, the authors study the costs of these liquidity restrictions on stockholders using a continuous-time portfolio choice framework and provide important insights about the effects of illiquidity in financial markets.
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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