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
More filters
Journal ArticleDOI
Does Option Compensation Increase Managerial Risk Appetite
TL;DR: In this paper, the authors focus on the optimal dynamic investment policy for a risk averse manager paid with a call option on the assets he controls, and focus on how the option compensation impacts the manager's appetite for risk when he cannot hedge the option position.
Posted Content
Agent-based Computational Finance
TL;DR: The authors surveys research on agent-based models used in finance, focusing on models where the use of computational tools is critical for the process of crafting models which give insights into the importance and dynamics of investor heterogeneity in many financial settings.
Journal ArticleDOI
Option values under stochastic volatility: Theory and empirical estimates
TL;DR: In this paper, the authors numerically solve the call option valuation problem given a fairly general continuous stochastic process for return volatility and derive statistical estimators for volatility process parameters, and parameter estimates for several individual stocks and indices.
Journal ArticleDOI
On the term structure of interest rates
TL;DR: In this paper, a valuation formula for default free bonds for a certain class of tastes when the instantaneously risk-free rate of interest follows a geometric Wiener process is presented, and an application of the analysis to the pricing of Treasury Bills is proposed.
Book
An Analytic Derivation of the Efficient Portfolio Frontier
TL;DR: It is shown that under certain conditions, the classic graphical technique for deriving the efficient portfolio frontier is incorrect and the most important implication derived from these characteristics, the separation theorem, is stated and proved in the context of a mutual fund theorem.
References
More filters
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