Optimum consumption and portfolio rules in a continuous-time model☆
Reads0
Chats0
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
Book ChapterDOI
The history of continuous-time econometric models
TL;DR: The first significant contribution to estimating the parameters of continuous-time stochastic models from discrete data was made by the British statistician Bartlett (1946) only three years after the pioneer contribution of Haavelmo (1943) on simultaneous-equations models.
Journal ArticleDOI
Dynamic Optimization of Long‐Term Growth Rate for a Portfolio with Transaction Costs and Logarithmic Utility
TL;DR: In this article, the optimal investment policy for an investor who has available one bank account and n risky assets modeled by log-normal diffusions is studied, where the objective is to maximize the long-run average growth of wealth for a logarithmic utility function in the presence of proportional transaction costs.
Journal ArticleDOI
On efficiency of mean–variance based portfolio selection in defined contribution pension schemes
TL;DR: In this article, the authors consider the portfolio selection problem in the accumulation phase of a defined contribution (DC) pension scheme and show that it is equivalent to a target-based optimization problem, consisting of the minimization of a quadratic loss function.
Journal ArticleDOI
Portfolio Choice and the Bayesian Kelly Criterion
Sid Browne,Ward Whitt +1 more
TL;DR: In this paper, the authors show that a state-dependent control is optimal for continuous-time random walks in a random environment, which is a generalization of the celebrated Kelly strategy.
Journal ArticleDOI
An optimal investment/consumption model with borrowing
TL;DR: This paper considers a consumption and investment decision problem for a single agent in which wealth is divided between a riskless asset and a risky asset with logarithmic Brownian motion price fluctuations.
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