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
Citations
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Optimal Dynamic Trading with Leverage Constraints
TL;DR: In this article, the optimal trading strategy of an investor who faces a leverage constraint, i.e., a limitation on his ability to borrow for the purpose of investing in a risky asset, is studied.
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Optimal portfolio for a small investor in a market model with discontinuous prices
TL;DR: In this article, a consumption-investment problem is considered for a small investor in the case of a market model in which prices evolve according to a stochastic equation with a jump-process component.
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A geometric approach to multiperiod mean variance optimization of assets and liabilities
TL;DR: In this paper, a geometric approach to discrete time multi-period mean variance portfolio optimization is presented, which largely simplifies the mathematical analysis and the economic interpretation of such model settings.
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Portfolio optimization with unobservable Markov-modulated drift process
Ulrich Rieder,Nicole Bäuerle +1 more
TL;DR: In this article, the authors study portfolio optimization problems in which the drift rate of the stock is Markov modulated and the driving factors cannot be observed by the investor, and prove a number of interesting properties of the optimal portfolio strategy.
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.
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