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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Optimal Consumption and Investment Strategies with Stochastic Interest Rates
Claus Munk,Carsten Sørensen +1 more
TL;DR: In this article, the authors characterize the solution to the consumption and investment problem of a power utility investor in a continuous-time dynamically complete market with stochastic changes in the opportunity set.
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Portfolio choice with jumps: A closed-form solution
TL;DR: In this paper, the authors analyze the consumption-portfolio selection problem of an investor facing both Brownian and jump risks, and show that the optimal policy is for the investor to focus on controlling his exposure to the jump risk, while exploiting differences in the Brownian risk of the asset returns that lies in the orthogonal space.
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Portfolio Theory and Currency Substitution
TL;DR: In this article, the conditions under which foreign and domestic monies are substitutes in demand, when economic agents have motives to hold both, and contrast the determinants of currency substitutability with those of the more general concept of asset substitution.
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Expectations Models of Asset Prices: A Survey of Theory
TL;DR: In this paper, the authors identify restrictions on preferences under which various classes of "expectation" theories of asset prices, such as martingale models, the expectations hypothesis of the term structure of interest rates, and models of exhaustible resources and futures markets, are valid.
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Portfolio and Consumption Decisions under Mean-Reverting Returns: An Exact Solution for Complete Markets
TL;DR: In this paper, the optimal portfolio choice problem for an investor with utility over consumption under mean-reverting returns is solved, in closed form, by assuming that markets are complete, and the portfolio allocation takes the form of a weighted average and is shown to be analogous to duration for coupon bonds.
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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