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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Journal ArticleDOI
Portfolio choice with non-expected utility in continuous time
TL;DR: In this article, the consumption/savings and portfolio problem is solved for constant intertemporal elasticity of substitution and constant relative risk aversion, where non-expected utility preferences are extended to continuous time.
Journal ArticleDOI
Corporate Earnings and the Equity Premium
TL;DR: In this paper, the authors examine the asset-pricing implications of the sensitivity of corporate cash flows to economic shocks within a continuous-time model in which dividends are a stochastic fraction of aggregate consumption.
Book ChapterDOI
Non-linear pricing theory and backward stochastic differential equations
N. El Karoui,M. C. Quenez +1 more
Book Chapter
Optimal derivatives design under dynamic risk measures
Pauline Barrieu,Nicole El Karoui +1 more
TL;DR: In this paper, the authors developed a methodology to optimally design a financial issue to hedge non-tradable risk on financial markets, which is the key transformation in solving this optimization problem.
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Nontraded assets in incomplete markets: Pricing and portfolio choice☆
TL;DR: The authors examines portfolio choice and asset pricing when some assets are nontraded, for instance when a country cannot trade claims to its output on world capital markets, when a government can not trade claims on world markets.
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.
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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