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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Pensionmetrics 2: stochastic pension plan design during the distribution phase
TL;DR: In this paper, the authors compared the purchase at retirement age of a conventional life annuity (i.e., a bond-based investment) with distribution programs involving differing exposures to equities during retirement and found that the optimal age to annuitise depends on the bequest utility and the investment performance of the fund during retirement.
Journal ArticleDOI
Lie Symmetry Analysis of Differential Equations in Finance
R. K. Gazizov,N. H. Ibragimov +1 more
TL;DR: In this article, the authors apply Lie group theory to differential equations occurring as mathematical models in financial problems, including the one-dimensional Black-Scholes model and the two-dimensional Jacobs-Jones model.
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The Role of Experience Sampling and Graphical Displays on One's Investment Risk Appetite
TL;DR: A new risk tool to communicate the risk of investment products is introduced, and it examines how different risk-presentation modes influence risk-taking behavior and investors' recall ability of the risk-return profile of financial products.
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Dynamic Portfolio Optimization with Transaction Costs: Heuristics and Dual Bounds
David B. Brown,James E. Smith +1 more
TL;DR: This paper considers several easy-to-compute heuristic trading strategies that are based on optimizing simpler models and complement these heuristics with upper bounds on the performance with an optimal trading strategy based on the dual approach developed in Brown et al.
Posted Content
Does Option Compensation Increase Managerial Risk Appetite
TL;DR: In this article, the authors solve the dynamic investment problem of a risk averse manager compensated with a call option on the assets he controls, and show that the option compensation does not strictly lead to greater risk-seeking.
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.
Journal ArticleDOI