Download or read book Optimal Consumption of a Divisible Durable Good written by Domenico Cuoco and published by . This book was released on 1998 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Optimal Consumption of a Divisible Durable Good written by Hong Liu and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine the intertemporal optimal consumption and investmentproblem in a continuous-time economy with a divisible durable good. Consumption services are assumed to be proportional to the stock of the good held and adjustment of the stock is costly, in that it involves the payment of a proportional transaction cost. For the case in which the investor has an isoelastic utility function and asset prices follow a geometric Brownian motion, we establish the existence of an optimal policy and provide an explicit representation for the value function. We show that the investor acts so as to maintain the ratio of the stock of the durable to total wealth in a fixed (nonstochastic) range and that the optimal investment policy involves stochastic portfolio weights. The dependence of the optimal policies on the parameters of the model is also discussed.
Download or read book Financial Asset Pricing Theory written by Claus Munk and published by OUP Oxford. This book was released on 2013-04-18 with total page 598 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Asset Pricing Theory offers a comprehensive overview of the classic and the current research in theoretical asset pricing. Asset pricing is developed around the concept of a state-price deflator which relates the price of any asset to its future (risky) dividends and thus incorporates how to adjust for both time and risk in asset valuation. The willingness of any utility-maximizing investor to shift consumption over time defines a state-price deflator which provides a link between optimal consumption and asset prices that leads to the Consumption-based Capital Asset Pricing Model (CCAPM). A simple version of the CCAPM cannot explain various stylized asset pricing facts, but these asset pricing 'puzzles' can be resolved by a number of recent extensions involving habit formation, recursive utility, multiple consumption goods, and long-run consumption risks. Other valuation techniques and modelling approaches (such as factor models, term structure models, risk-neutral valuation, and option pricing models) are explained and related to state-price deflators. The book will serve as a textbook for an advanced course in theoretical financial economics in a PhD or a quantitative Master of Science program. It will also be a useful reference book for researchers and finance professionals. The presentation in the book balances formal mathematical modelling and economic intuition and understanding. Both discrete-time and continuous-time models are covered. The necessary concepts and techniques concerning stochastic processes are carefully explained in a separate chapter so that only limited previous exposure to dynamic finance models is required.
Download or read book Handbooks in Operations Research and Management Science Financial Engineering written by John R. Birge and published by Elsevier. This book was released on 2007-11-16 with total page 1026 pages. Available in PDF, EPUB and Kindle. Book excerpt: The remarkable growth of financial markets over the past decades has been accompanied by an equally remarkable explosion in financial engineering, the interdisciplinary field focusing on applications of mathematical and statistical modeling and computational technology to problems in the financial services industry. The goals of financial engineering research are to develop empirically realistic stochastic models describing dynamics of financial risk variables, such as asset prices, foreign exchange rates, and interest rates, and to develop analytical, computational and statistical methods and tools to implement the models and employ them to design and evaluate financial products and processes to manage risk and to meet financial goals. This handbook describes the latest developments in this rapidly evolving field in the areas of modeling and pricing financial derivatives, building models of interest rates and credit risk, pricing and hedging in incomplete markets, risk management, and portfolio optimization. Leading researchers in each of these areas provide their perspective on the state of the art in terms of analysis, computation, and practical relevance. The authors describe essential results to date, fundamental methods and tools, as well as new views of the existing literature, opportunities, and challenges for future research.
Download or read book Stochastic Economic Dynamics written by Bjarne S. Jensen and published by Copenhagen Business School Press DK. This book was released on 2007 with total page 464 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book analyses stochastic dynamic systems across a broad spectrum in economics and finance. The major unifying theme is the coherent and rigorous treatment of uncertainty and its implications for describing stochastic processes by the stochastic differential equations of the fundamental models in various fields. Pertinent subjects are interrelated, juxtaposed, and examined for consistency in theoretical and empirical contexts. The volume consists of three parts: Developments in Stochastic Dynamics; Stochastic Dynamics in Basic Economic Growth Models; Intertemporal Optimisation in Consumption, Finance, and Growth. Key topics include: fractional Brownian motion in finance; moment evolution of Gaussian and geometric Wiener diffusions; stochastic kinematics and stochastic mechanics; stochastic growth in continuous time; time delays and Hopf bifurcation; consumption and investment strategies; differential systems in finance and life insurance; uncertainty of technological innovations; investment and employment cycles; stochastic control theory; and risk aversion. The works collected in this book serves to bridge the "old" deterministic dynamics and the "new" stochastic dynamics. The collection is important for scholars and advanced graduate students of economics, statistics, and applied mathematics.
Download or read book Methods of Mathematical Finance written by Ioannis Karatzas and published by Springer. This book was released on 2017-01-10 with total page 426 pages. Available in PDF, EPUB and Kindle. Book excerpt: This sequel to Brownian Motion and Stochastic Calculus by the same authors develops contingent claim pricing and optimal consumption/investment in both complete and incomplete markets, within the context of Brownian-motion-driven asset prices. The latter topic is extended to a study of equilibrium, providing conditions for existence and uniqueness of market prices which support trading by several heterogeneous agents. Although much of the incomplete-market material is available in research papers, these topics are treated for the first time in a unified manner. The book contains an extensive set of references and notes describing the field, including topics not treated in the book. This book will be of interest to researchers wishing to see advanced mathematics applied to finance. The material on optimal consumption and investment, leading to equilibrium, is addressed to the theoretical finance community. The chapters on contingent claim valuation present techniques of practical importance, especially for pricing exotic options.
Download or read book Recent Developments In Mathematical Finance Proceedings Of The International Conference On Mathematical Finance written by Jiongmin Yong and published by World Scientific. This book was released on 2001-12-28 with total page 286 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book deals with topics such as the pricing of various contingent claims within different frameworks, risk-sensitive problems, optimal investment, defaultable term structure, etc. It also reflects on some recent developments in certain important aspects of mathematical finance.
Download or read book Recent Developments in Mathematical Finance written by Jiongmin Yong and published by World Scientific. This book was released on 2002 with total page 286 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book deals with topics such as the pricing of various contingent claims within different frameworks, risk-sensitive problems, optimal investment, defaultable term structure, etc. It also reflects on some recent developments in certain important aspects of mathematical finance. Contents: Intensity-Based Valuation of Basket Credit Derivatives (T R Bielecki & M Rutkowski); Comonotonicity of Backward Stochastic Differential Equations (Z Chen & X Wang); Some Lookback Option Pricing Problems (X Guo); Optimal Investment and Consumption with Fixed and Proportional Transaction Costs (H Liu); Filtration Consistent Nonlinear Expectations (F Coquet et al.); A Theory of Volatility (A Savine); Discrete Time Markets with Transaction Costs (L Stettner); Options on Dividend Paying Stocks (R Beneder & T Vorst); Risk: From Insurance to Finance (H Yang); Arbitrage Pricing Systems in a Market Driven by an It Process (S Luo et al.); and other papers. Readership: Graduate students and researchers in mathematical finance and economics.
Download or read book Dynamic Asset Pricing Theory written by Darrell Duffie and published by Princeton University Press. This book was released on 2010-01-27 with total page 488 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a thoroughly updated edition of Dynamic Asset Pricing Theory, the standard text for doctoral students and researchers on the theory of asset pricing and portfolio selection in multiperiod settings under uncertainty. The asset pricing results are based on the three increasingly restrictive assumptions: absence of arbitrage, single-agent optimality, and equilibrium. These results are unified with two key concepts, state prices and martingales. Technicalities are given relatively little emphasis, so as to draw connections between these concepts and to make plain the similarities between discrete and continuous-time models. Readers will be particularly intrigued by this latest edition's most significant new feature: a chapter on corporate securities that offers alternative approaches to the valuation of corporate debt. Also, while much of the continuous-time portion of the theory is based on Brownian motion, this third edition introduces jumps--for example, those associated with Poisson arrivals--in order to accommodate surprise events such as bond defaults. Applications include term-structure models, derivative valuation, and hedging methods. Numerical methods covered include Monte Carlo simulation and finite-difference solutions for partial differential equations. Each chapter provides extensive problem exercises and notes to the literature. A system of appendixes reviews the necessary mathematical concepts. And references have been updated throughout. With this new edition, Dynamic Asset Pricing Theory remains at the head of the field.
Download or read book Optimal Consumption and Portfolio Rules With Durability and Habit Formation Classic Reprint written by Ayman Hindy and published by Forgotten Books. This book was released on 2018-03 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt: Excerpt from Optimal Consumption and Portfolio Rules With Durability and Habit Formation We entertain three different economic ideas in three different interpretations of the model specified in and In one interpretation, preferences given by (1) exhibit the notions of local substitution and habit formation. Agents with such preferences treat consumptions at adjacent dates as close substitutes and consumptions at distant dates as complements. In a second interpretation, the model represents habit forming preferences over the service flows from irreversible purchases of a durable good that decays over time. In the third interpretation, the model represents preferences for consumption of a dual purpose commodity that provides the agent with two sources of utility. The two components of such a composite good, however, have different half - lives. 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 Optimal Consumption and Portfolio Rules written by Ayman Hindy and published by . This book was released on 2015-08-05 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: Excerpt from Optimal Consumption and Portfolio Rules: With Durability and Local Substitution We study a model of optimal consumption and portfolio choice which captures, in two different interpretations, the notions of local substitution and irreversible purchases of durable goods. The class of preferences we consider excludes all nonlinear time-additive and nearly all the non-time-additive utility functions used in the literature. We discuss heuristically necessary conditions and provide sufficient conditions for a consumption and portfolio policy to be optimal. Furthermore, we demonstrate our general theory by solving in a closed form the optimal consumption and portfolio policy for a particular felicity function when the prices of the assets follow a geometric Brownian motion process. The optimal consumption policy in our solution consists of a possible initial "gulp" of consumption, or a period of no consumption, followed by a process of accumulated consumption with singular sample paths. In almost all states of nature, the agent consumes periodically and invests more in the risky assets than an agent with time-additive utility whose felicity function has the same curvature and the same time-discount parameter. We compute the equilibrium risk premium in a representative investor economy with a single physical production technology whose rate of return follows a Brownian motion. In addition, we provide some simulation results that demonstrate the properties of the purchase series for durable goods with different half-lives. 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 International Bibliography of Economics written by Compiled by the British Library of Political and Economic Science and published by Psychology Press. This book was released on 2001-11-22 with total page 720 pages. Available in PDF, EPUB and Kindle. Book excerpt: IBSS is the essential tool for librarians, university departments, research institutions and any public or private institution whose work requires access to up-to-date and comprehensive knowledge of the social sciences.
Download or read book Journal of Economic Dynamics Control written by and published by . This book was released on 2002 with total page 1136 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Optimal Consumption and Portfolio Rules with Durability and Habit Formation written by Ayman Hindy and published by . This book was released on 2005 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We study a model of consumption choice and portfolio allocation that captures, in two different interpretations, the combined effect of local substitution and habit formation and the combined effect of durability of consumption goods and habit formation over service flows from those goods. In a third interpretation, the model captures the idea of a dual purpose commodity. The optimal allocation problem is from the class of free boundary singular control problems. We discuss, formally, necessary, and sufficient conditions for a consumption and portfolio policy to be optimal. We also introduce a numerical technique based on approximating the original program by a sequence of discrete parameter Markov chain control problems. We provide convergence results of the value function, the optimal investment policy, and the optimal consumption regions in the approximating discrete control problems to those in the original continuous time dynamic program. We construct numerically the consumption boundary that divides the state space into two regions - one of immediate consumption and the other of abstinence. We show that both the wealth required to start consuming and the optimal fraction of wealth invested in the risky asset are cyclical functions in both the stock of the durable good and the standard of living. This is due to the interaction between the durability and habit formation effects. We also study the effect of the cyclical investment behavior on the equilibrium risk premium in a representative consumer economy.
Download or read book The Economics of Consumer Credit written by Giuseppe Bertola and published by MIT Press. This book was released on 2006 with total page 389 pages. Available in PDF, EPUB and Kindle. Book excerpt: Cross-national analysis of empirical, theoretical, and policy issues in the consumer credit industry, including household debt, credit card usage, and bankruptcy.
Download or read book Priority Patterns and the Demand for Household Durable Goods written by and published by CUP Archive. This book was released on with total page 176 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Durability of Consumer Goods and Business Instability written by Pao-lun Chʻeng and published by . This book was released on 1956 with total page 424 pages. Available in PDF, EPUB and Kindle. Book excerpt:
