Download or read book Optimal Consumption and Portfolio Policies written by William Frank Rentz and published by . This book was released on 1971 with total page 480 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Optimal Consumption portfolio Policies written by Hua He and published by . This book was released on 1991 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Consumption portfolio Policies written by Chi-fu Huang and published by . This book was released on 1992 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies written by Leonid Kogan and published by . This book was released on 2002 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Optimal Portfolio Policies Under Time dependent Returns written by Fernando Restoy and published by . This book was released on 1992 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates analytically and numerically intertemporal equilibrium portfolio policies under time dependent returns. The analysis is performed using a new method for obtaining approximate closed form solutions to the optimal portfolio-consumption problem that does not require the imposition of constraints on the conditional moments of consumption and that allows for autoregressive conditional heteroskedasticity in stock returns. The analytical and numerical results show that the elasticity of intertemporal substitution is irrelevant for the determination of the portfolio policy when returns are persistent and follow GARCH processes. In addition, results show that small departures from the i.i.d. assumption produce an important variability in the portfolio holdings that contrasts with the static CAPM constant portfolio policies. However, a conditional version of the static CAPM with the inclusion of a Jensen inequality correction is able to explain the overwhelming majority of the mean and almost all the variability of portfolio.

Download or read book Optimal Consumption and Portfolio Policies When Markets are Incomplete written by Henri Pags and published by Palala Press. This book was released on 2018-02-19 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: This work has been selected by scholars as being culturally important, and is part of the knowledge base of civilization as we know it. This work was reproduced from the original artifact, and remains as true to the original work as possible. Therefore, you will see the original copyright references, library stamps (as most of these works have been housed in our most important libraries around the world), and other notations in the work. This work is in the public domain in the United States of America, and possibly other nations. Within the United States, you may freely copy and distribute this work, as no entity (individual or corporate) has a copyright on the body of the work. As a reproduction of a historical artifact, this work may contain missing or blurred pages, poor pictures, errant marks, etc. Scholars believe, and we concur, that this work is important enough to be preserved, reproduced, and made generally available to the public. We appreciate your support of the preservation process, and thank you for being an important part of keeping this knowledge alive and relevant.

Download or read book Optimal Consumption and Portfolio Policies when Asset Prices Follow a Diffusion Process written by John C. Cox and published by . This book was released on 1987 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Efficient Consumption portfolio Policies written by Hua He and published by . This book was released on 1991 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Optimal Consumption and Portfolio Policies with an Infinite Horizon written by Chi-Fu Huang and published by Palala Press. This book was released on 2015-09-09 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: This work has been selected by scholars as being culturally important, and is part of the knowledge base of civilization as we know it. This work was reproduced from the original artifact, and remains as true to the original work as possible. Therefore, you will see the original copyright references, library stamps (as most of these works have been housed in our most important libraries around the world), and other notations in the work. This work is in the public domain in the United States of America, and possibly other nations. Within the United States, you may freely copy and distribute this work, as no entity (individual or corporate) has a copyright on the body of the work.As a reproduction of a historical artifact, this work may contain missing or blurred pages, poor pictures, errant marks, etc. Scholars believe, and we concur, that this work is important enough to be preserved, reproduced, and made generally available to the public. We appreciate your support of the preservation process, and thank you for being an important part of keeping this knowledge alive and relevant.

Download or read book Optimal Consumption portfolio Policies with Habit Formation written by Jérôme Detemple and published by . This book was released on 1989 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Optimal Consumption and Portfolio Policies when Markets are Incomplete written by Henri Pages and published by . This book was released on 1987 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Optimal Consumption and Portfolio Policies When Markets Are Incomplete Classic Reprint written by Henri Pagës and published by Forgotten Books. This book was released on 2016-10-20 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: Excerpt from Optimal Consumption and Portfolio Policies When Markets Are Incomplete The first question arises from the fact that when M is stictly included in X, only the marketed commodities have their price determined by arbitrage. There is an abundance of price functionals that extend 7r over all of X, and one could choose a priori any one of them. However, one candidate is of special interest to us: it is the (unique) one which is measurable with respect to the price system, i.e., such that the shadow price of consumption is itself in the price information set. With this particular valuation, it turns out that a solution 6 to the extended maximization program can always be chosen to be price measurable. And thus marketed. To see this, we have to recall a result from option pricing theory which states that the price of any contingent claim can be written as its expectation under some probability. Let. Then Q be the probability associated with our choice of the price measurable valuation, and take the conditional expectation of (3 under Q with respect to the price information set. The new consumption plan is price measurable by construction. In addition, it can be shown that it satisfies the same budget constraint and that. It is as least as preferred as 6. But 6 is Optimal by assumption, so that it. Should be clear that. The two solutions are in fact. Indifferent. Or even identical when the utility function is strictly concave. About the Publisher Forgotten Books publishes hundreds of thousands of rare and classic books. Find more at www.forgottenbooks.com This book is a reproduction of an important historical work. Forgotten Books uses state-of-the-art technology to digitally reconstruct the work, preserving the original format whilst repairing imperfections present in the aged copy. In rare cases, an imperfection in the original, such as a blemish or missing page, may be replicated in our edition. We do, however, repair the vast majority of imperfections successfully; any imperfections that remain are intentionally left to preserve the state of such historical works.

Download or read book Strategic Asset Allocation written by John Y. Campbell and published by OUP Oxford. This book was released on 2002-01-03 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt: Academic finance has had a remarkable impact on many financial services. Yet long-term investors have received curiously little guidance from academic financial economists. Mean-variance analysis, developed almost fifty years ago, has provided a basic paradigm for portfolio choice. This approach usefully emphasizes the ability of diversification to reduce risk, but it ignores several critically important factors. Most notably, the analysis is static; it assumes that investors care only about risks to wealth one period ahead. However, many investors—-both individuals and institutions such as charitable foundations or universities—-seek to finance a stream of consumption over a long lifetime. In addition, mean-variance analysis treats financial wealth in isolation from income. Long-term investors typically receive a stream of income and use it, along with financial wealth, to support their consumption. At the theoretical level, it is well understood that the solution to a long-term portfolio choice problem can be very different from the solution to a short-term problem. Long-term investors care about intertemporal shocks to investment opportunities and labor income as well as shocks to wealth itself, and they may use financial assets to hedge their intertemporal risks. This should be important in practice because there is a great deal of empirical evidence that investment opportunities—-both interest rates and risk premia on bonds and stocks—-vary through time. Yet this insight has had little influence on investment practice because it is hard to solve for optimal portfolios in intertemporal models. This book seeks to develop the intertemporal approach into an empirical paradigm that can compete with the standard mean-variance analysis. The book shows that long-term inflation-indexed bonds are the riskless asset for long-term investors, it explains the conditions under which stocks are safer assets for long-term than for short-term investors, and it shows how labor income influences portfolio choice. These results shed new light on the rules of thumb used by financial planners. The book explains recent advances in both analytical and numerical methods, and shows how they can be used to understand the portfolio choice problems of long-term investors.

Download or read book Consumption Porfolio Policies written by Hua He and published by Forgotten Books. This book was released on 2016-10-20 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: Excerpt from Consumption-Porfolio Policies: An Inverse Optimal Problem The inverse problem studied here can be viewed as a dynamic recoverability problem in financial markets with continuous trading; see Kurz (1969) and Chang (1988) for related problems. Our objective here is to recover an economic agent's preferences from the observed consumption-portfolio policy that has been specified for a given asset price process. Since our emphasis is in analyzing an individual's consumption-portfolio policy in a continuous time securities market environment, the inverse problem studied here and the solution method employed in this paper are very different from those of Kurz (1969) and Chang who study an inverse problem in the theory of optimal growth. Cox and Leland (1982) are the first to characterize efficient consumption-portfolio policies when the asset price follows a geometric Brownian motion; also see Black Our contribution in this paper lies in giving a characterization of the efficient consumption-portfolio policies when the asset price follows a general diffusion process. Since our characterization of efficient consumption portfolio policies is derived for a general specification of the price process, we can also use the same approach to answer a related question: Can a given consumption-portfolio policy be optimal for a given utility function and some diffusion price process or for some utility function and some diffusion price process? About the Publisher Forgotten Books publishes hundreds of thousands of rare and classic books. Find more at www.forgottenbooks.com This book is a reproduction of an important historical work. Forgotten Books uses state-of-the-art technology to digitally reconstruct the work, preserving the original format whilst repairing imperfections present in the aged copy. In rare cases, an imperfection in the original, such as a blemish or missing page, may be replicated in our edition. We do, however, repair the vast majority of imperfections successfully; any imperfections that remain are intentionally left to preserve the state of such historical works.

Download or read book Consumption and Portfolio Decisions when Expected Returns are Time Varying written by John Y. Campbell and published by . This book was released on 1996 with total page 88 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper proposes and implements a new approach to a classic unsolved problem in financial economics: the optimal consumption and portfolio choice problem of a long-lived investor facing time-varying investment opportunities. The investor is assumed to be infinitely-lived, to have recursive Epstein-Zin-Weil utility, and to choose in discrete time between a riskless asset with a constant return, and a risky asset with constant return variance whose expected log return follows and AR(1) process. The paper approximates the choice problem by log-linearizing the budget constraint and Euler equations, and derives an analytical solution to the approximate problem. When the model is calibrated to US stock market data it implies that intertemporal hedging motives greatly increase, and may even double, the average demand for stocks by investors whose risk-aversion coefficients exceed one.

Download or read book OPTIMAL CONSUMPTION AND PORTFOLIO POLICIES WHEN MARKETS ARE INCOMPLETE written by HENRI. PAGES and published by . This book was released on 2018 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Optimal Consumption and Investment with Bankruptcy written by Suresh P. Sethi and published by Springer Science & Business Media. This book was released on 1996-11-30 with total page 456 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents papers on continuous-time consumption investment models by Suresh Sethi and various co-authors. Sir Isaac Newton said that he saw so far because he stood on the shoulders of gi ants. Giants upon whose shoulders Professor Sethi and colleagues stand are Robert Merton, particularly Merton's (1969, 1971, 1973) seminal papers, and Paul Samuelson, particularly Samuelson (1969). Karatzas, Lehoczky, Sethi and Shreve (1986), henceforth KLSS, re produced here as Chapter 2, reexamine the model proposed by Mer ton. KLSS use methods of modern mathematical analysis, taking care to prove the existence of integrals, check the existence and (where appro priate) the uniqueness of solutions to equations, etc. KLSS find that un der some conditions Merton's solution is correct; under others, it is not. In particular, Merton's solution for aHARA utility-of-consumption is correct for some parameter values and not for others. The problem with Merton's solution is that it sometimes violates the constraints against negative wealth and negative consumption stated in Merton (1969) and presumably applicable in Merton (1971 and 1973). This not only affects the solution at the zero-wealth, zero-consumption boundaries, but else where as well. Problems with Merton's solution are analyzed in Sethi and Taksar (1992), reproduced here as Chapter 3.