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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Global Currency Hedging
TL;DR: In this paper, the U.S. dollar, the euro, the Swiss franc, and the Canadian dollar were compared over the period 1975 to 2005, and it was shown that these currencies should be attractive to risk-minimizing global equity investors despite their low average returns.
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Rational Inattention and Portfolio Selection
Lixin Huang,Hong Liu +1 more
TL;DR: In this article, the authors show that rational inattention to important news may make investors over- or under invest, and that the optimal trading strategy is myopic with respect to future news frequency and accuracy.
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Determinants of risk-taking: Behavioral and economic views
TL;DR: In this paper, the authors examined the concept of risk-taking from various perspectives: economic, decision theoretic, and psychological, and discussed multiple factors that complicating the extraction of any presumed risktaking propensity from a person's real-world behavior.
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A Micro-Econometric Analysis of Risk-Aversion and the Decision to Self-Insure
TL;DR: In this paper, the authors investigate the decision whether to purchase insurance against the risk of telephone line trouble in the home and find that risk-aversion varies systematically in the population and varies with the level of income.
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Transactions costs and portfolio choice in a discrete-continuous-time setting
Darrell Duffie,Tong-sheng Sun +1 more
TL;DR: In this article, a new formulation of the consumption and portfolio choice model with transaction costs is proposed, where an investor observes his or her current wealth only when making a transaction, and transactions are costly, and decisions to transact can be made at any time based on all current information.
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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