Optimum consumption and portfolio rules in a continuous-time model☆
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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
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Relationship Between Backward Stochastic Differential Equations and Stochastic Controls: A Linear-Quadratic Approach
Michael Kohlmann,Xun Yu Zhou +1 more
TL;DR: This paper attempts to explore the relationship between BSDEs and stochastic controls by interpreting BSDE’s as some Stochastic optimal control problems, and a modified model is investigated, where the difference between the state and the expectation of the given terminal value at any time is taken into account.
ReportDOI
Estimating the Continuous Time Consumption Based Asset Pricing Model
TL;DR: In this paper, the effects of time averaging on the covariances of per capita consumption growth with asset returns are taken into account to estimate the model's parameters and test the overidentifying restrictions using six different data sets.
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Portfolio choice via quantiles
Xue Dong He,Xun Yu Zhou +1 more
TL;DR: In this article, a new portfolio choice model for both complete and incomplete markets is formulated, where the quantile function of the terminal cash flow, instead of the cash flow itself, is taken as the decision variable.
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Skewness Preference and Portfolio Choice
TL;DR: One of the virtues of parameter preference models (presented in general form in Rubinstein [23] is their empirical content as discussed by the authors, and applied models of financial theory rely heavily on the mean variance (MV) version of parameter preferences.
Book
Portfolio management with heuristic optimization
TL;DR: In this paper, the basic concepts of several heuristic optimization techniques are presented along with examples of how to implement them for financial optimization problems, covering different problems in financial optimization: the effectsof (linear, proportional and combined) transaction costs together with integer constraints and limitations on the initital endowment to be invested; the diversification in small portfolios; the effect of cardinality constraints on the Markowitz efficient line; the effects (and hidden risks) of Value-at-Risk when used the relevant risk constraint; the problem factor selection for the Arbitrage Pricing Theory
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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