Optimum consumption and portfolio rules in a continuous-time model
نویسندگان
چکیده
منابع مشابه
Continuous time portfolio optimization
This paper presents dynamic portfolio model based on the Merton's optimal investment-consumption model, which combines dynamic synthetic put option using risk-free and risky assets. This paper is extended version of methodological paper published by Yuan Yao (2012). Because of the long history of the development of foreign financial market, with a variety of financial derivatives, the study on ...
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The comparative statics of the optimal portfolios across individuals is carried out for a continuous-time complete market model, where the risky assets price process follows a joint geometric Brownian motion with time-dependent and deterministic coefficients. It turns out that the indirect utility functions inherit the order of risk aversion (in the Arrow-Pratt sense) from the von Neumann-Morge...
متن کاملcontinuous time portfolio optimization
this paper presents dynamic portfolio model based on the merton's optimal investment-consumption model, which combines dynamic synthetic put option using risk-free and risky assets. this paper is extended version of methodological paper published by yuan yao (2012) cite{26}. because of the long history of the development of foreign financial market, with a variety of financial derivatives, the ...
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This paper discusses an optimal portfolio selection problem in a continuous-time economy, where the price dynamics of a risky asset are governed by a continuous-time self-exciting threshold model. This model provides a way to describe the effect of regime switching on price dynamics via the selfexciting threshold principle. Its main advantage is to incorporate the regime switching effect withou...
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Conventional rules of thumb represent simple, but potentially inefficient, alternatives to dynamic programming solutions. This paper seeks an intermediate ground by developing a framework for selecting optimal rules of thumb. Defining rules of thumb as simple functions of state variables, I solve for the optimal parameters of specific rules of thumb for portfolio choice and consumption. In the ...
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ژورنال
عنوان ژورنال: Journal of Economic Theory
سال: 1971
ISSN: 0022-0531
DOI: 10.1016/0022-0531(71)90038-x