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
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Costly Arbitrage and Idiosyncratic Risk: Evidence from Short Sellers
TL;DR: In this article, the authors focus on the idiosyncratic risk which, regardless of the arbitrageur's level of diversification, deters arbitrage activity and find that among high short interest stocks, a one standard deviation increase in idiosyncratic risks predicts a more than 1% decline in monthly returns.
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Portfolio Insurance and Financial Market Equilibrium
TL;DR: In this article, the authors compare a capital market in which prices are set by a single expected utility maximizing investor with a market where the expected utility-maximizing investor owns only a part of the wealth, the balance being held by an investor who follows a portfolio insurance strategy.
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Optimal inattention to the stock market with information costs and transactions costs
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Asset/Liability Management for Pension Funds Using CVaR Constraints
TL;DR: In this article, formal optimal decision approaches for a multi-period asset/liability management model for a pension fund are studied. But the authors focus on the problem of finding the optimal allocation proportions for a large number of instruments and scenarios.
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Chapter 11 The determination of life cycle earnings: A survey
TL;DR: In this article, the authors present a survey on the determination of life cycle earnings, focusing on the human capital approach and its testable implications to individual earning profiles setting aside the aggregate and policy implications.
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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