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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Optimum portfolio diversification in a general continuous-time model
TL;DR: In this article, the problem of determining optimal portfolio rules is considered, where prices are assumed to be stochastic processes of a fairly general nature, expressible as stochiastic integrals with respect to semimartingales.
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The demand for risky assets under uncertain inflation
TL;DR: In this article, a simple form of the aggregate equilibrium relationship between the relative demand for risky assets and the market price of risk (MPR) has been developed, based on the assumption of constant proportional risk aversion for households.
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Optimal delta-hedging under transactions costs
Les Clewlow,Stewart D. Hodges +1 more
TL;DR: In this paper, the problem of delta-hedging portfolios of options under transactions costs was examined and the optimal strategy under a general cost function with fixed and proportional costs was proposed.
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Improving Portfolio Selection Using Option-Implied Volatility and Skewness
TL;DR: In this paper, the authors examine whether one can use option-implied information to improve the selection of mean-variance portfolios with a large number of stocks, and to document which aspects of option implied information are most useful for improving their out-of-sample performance.
Posted Content
Does Tax Competition Really Promote Growth
TL;DR: In this article, the authors consider the relationship between tax competition and growth in an endogenous growth model where there are stochastic shocks to productivity, and capital taxes fund a public good which may be for final consumption or an infrastructure input.
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