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
Journal ArticleDOI
Risk Management with Benchmarking
TL;DR: In this article, a risk-averse portfolio manager optimally under- or overperforms a target benchmark under different economic conditions, depending on his attitude towards risk and choice of the benchmark.
Journal ArticleDOI
Optimal lifetime consumption-portfolio strategies under trading constraints and generalized recursive preferences
Mark Schroder,Costis Skiadas +1 more
TL;DR: In this paper, the lifetime consumption-portfolio problem in a competitive securities market with essentially arbitrary continuous price dynamics, and convex trading constraints (e.g., incomplete markets and short-sale constraints) is considered, and first-order conditions of optimality are derived, based on a preference independent notion of constrained state pricing.
Posted Content
Dynamic Asset Allocation with Event Risk
TL;DR: In this article, the authors study the implications of jumps in prices and volatility on investment strategies and provide analytical solutions to the optimal portfolio problem using the event-risk framework of Duffie, Pan, and Singleton.
Journal ArticleDOI
Finite-Horizon Optimal Investment with Transaction Costs: A Parabolic Double Obstacle Problem
TL;DR: In this paper, the optimal investment problem of a CRRA investor who faces proportional transaction costs and finite time horizon was studied using a partial differential equation approach, and it was shown that the problem is equivalent to a parabolic double obstacle problem involving two free boundaries that correspond to the optimal buying and selling policies.
Journal ArticleDOI
Option Pricing with Differential Interest Rates
TL;DR: In this paper, the classic option pricing model is generalized to a more realistic, imperfect, dynamically incomplete capital market with different interest rates for borrowing and for lending and a return differential between long and short positions in stock.
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