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
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Optimal lifetime consumption and investment under a drawdown constraint
Romuald Elie,Nizar Touzi +1 more
TL;DR: This work provides the value function in explicit form and derive closed-form expressions for the optimal consumption and investment strategy for the infinite-horizon optimal consumption-investment problem.
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Optimal monopolist pricing under demand uncertainty in dynamic markets
Kalyan Raman,Rabikar Chatterjee +1 more
TL;DR: In this article, the authors examine pricing policy for a monopolist facing uncertain demand in a market characterized by dynamics on the demand side (such as diffusion or saturation effects) and/or on the cost side (experience curve effects).
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Optimal portfolios for DC pension plans under a CEV model
TL;DR: In this paper, the authors studied the portfolio optimization problem for an investor who seeks to maximize the expected utility of the terminal wealth in a DC pension plan and derived the explicit solutions for the CRRA and CARA utility functions, respectively.
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A Multiperiod Equilibrium Asset Pricing Model
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Model Misspecification and Under-Diversification
Tan Wang,Raman Uppal,Raman Uppal +2 more
TL;DR: In this paper, the authors develop a model of intertemporal portfolio choice where an investor accounts explicitly for the possibility of model misspecification, and derive in closed-form the optimal portfolio weights of an investor who accounts for model miss-pecification.
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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