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 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 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 Investment with Bankruptcy written by Suresh P. Sethi and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 434 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.

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 2018-02-10 with total page 32 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 45 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 1? 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 c? 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. Thus. As far as the optimization problem is concerned. There is nothing more than the securities prices themselves that the agent. Needs to observe to devise his optimal strategy. Even in a world endowed with a very rich information structure, only that. Which is contained in the capital markets is relevant to manufacture his Optimal consumption plan. The crux of the argument is that an investor can loose nothing in terms of his expected utility by projecting the whole problem onto the information generated by prices. An intuitive account of how this works can tentatively be given as follows. Since there are infinitely many valuations which give the prices of the contingent claims outside M, the investor may be seen as maximizing his expected utility over the whole consumption space subject to an infinite number of budget constraints. Simply pick the particular valuation which is in the price information set and observe that the corresponding solution (3 is price measurable and thus marketed. Now expected utility can be improved upon only if some of the constraints are slack. But all the valuations agree on M so that all constaints are saturated. 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 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 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 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 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 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 Optimal Consumption and Portfolio Rules with Durability and Habit Formation written by Ayman Hindy and published by . This book was released on 1993 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt:

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 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 Portfolios written by Ralf Korn and published by World Scientific. This book was released on 1997 with total page 352 pages. Available in PDF, EPUB and Kindle. Book excerpt: The focus of the book is the construction of optimal investment strategies in a security market model where the prices follow diffusion processes. It begins by presenting the complete Black-Scholes type model and then moves on to incomplete models and models including constraints and transaction costs. The models and methods presented will include the stochastic control method of Merton, the martingale method of Cox-Huang and Karatzas et al., the log optimal method of Cover and Jamshidian, the value-preserving model of Hellwig etc.

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.