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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An Intertemporal General Equilibrium Asset Pricing Model: The Case of Diffusion Information
TL;DR: In this paper, the authors provided sufficient conditions for the equilibrium price system and a vector of exogenously specified state variable processes to form a diffusion process in a pure exchange economy, which involves smoothness of agents' utility functions and certain nice properties of the aggregate endowment process and the dividend processes of traded assets.
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Labor income, borrowing constraints, and equilibrium asset prices
Hua He,Henri Pagès +1 more
TL;DR: In this article, the authors develop a duality approach to study an individual's optimal consumption and portfolio policy when the individual has limited opportunities to borrow against future labor income and cannot totally insure the risk of income fluctuations.
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Hedging Derivative Securities and Incomplete Markets: An e-Arbitrage Approach
TL;DR: By applying stochastic dynamic programming to the minimization of a mean-squared error loss function under Markov-state dynamics, recursive expressions for the optimal-replication strategy are derived that are readily implemented in practice.
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Fiscal Policy, Inflation and the Accumulation of Risky Capital
TL;DR: In this article, a one-sector growth model is developed to explore the relationship between fiscal policy, government debt, inflation, and capital accumulation, and the model is used to answer three general questions: (1) Does the level of government expenditure affect the rate of capital accumulation and inflation in steady state? (2) Does government finance, when the choice is between an income tax and deficit finance, affect these magnitudes? (3) What is the effect of uncertainty in the productivity of capital on growth?
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The Role of Portfolio Constraints in the International Propagation of Shocks
Anna Pavlova,Roberto Rigobon +1 more
TL;DR: In this paper, the authors study the comovement among stock prices and exchange rates in a three-good, three-country, Centre-Periphery, dynamic equilibrium model in which the Centre's agents face portfolio constraints.
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