Optimal Consumption And Portfolio Rules
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Optimal Consumption And Portfolio Rules With Durability And Habit Formation
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Author : Ayman Hindy
language : en
Publisher:
Release Date : 1993
Optimal Consumption And Portfolio Rules With Durability And Habit Formation written by Ayman Hindy and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1993 with Consumption (Economics) categories.
Optimal Consumption And Portfolio Rules
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Author : Ayman Hindy
language : en
Publisher:
Release Date : 2015-08-05
Optimal Consumption And Portfolio Rules written by Ayman Hindy and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-08-05 with Business & Economics categories.
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.
Optimal Consumption And Portfolio Rules
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Author : Ayman Hindy
language : en
Publisher: Forgotten Books
Release Date : 2018-02-12
Optimal Consumption And Portfolio Rules written by Ayman Hindy and has been published by Forgotten Books this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-02-12 with Mathematics categories.
Excerpt from Optimal Consumption and Portfolio Rules: With Local Substitution Now consider an agent with a time-additive utility function for consumption, u(c, t) and an initial wealth W0 0. Assume throughout that u(c, t) is continuous in concave and increasing in c, and is possibly unbounded from below at c 0. This agent wants to manage a portfolio of the risky securities and the bond, and withdraw funds out of the portfolio to maximize his expected utility of consumption over time. Our task here is to find conditions on the utility function and on the price processes to guarantee the existence of a solution to the agent's problem. 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.
Optimal Consumption And Portfolio Rules With Durability And Local Substitution
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Author : Ayman Hindy
language : en
Publisher:
Release Date : 1991
Optimal Consumption And Portfolio Rules With Durability And Local Substitution written by Ayman Hindy and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1991 with categories.
Optimal Consumption And Portfolio Rules With Local Substitution
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Author : Ayman Hindy
language : en
Publisher:
Release Date : 1991
Optimal Consumption And Portfolio Rules With Local Substitution written by Ayman Hindy and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1991 with categories.
A Note On Merton S Optimum Consumption And Portfolio Rules In A Continuous Time Model
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Author : Suresh Sethi
language : en
Publisher:
Release Date : 2014
A Note On Merton S Optimum Consumption And Portfolio Rules In A Continuous Time Model written by Suresh Sethi and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.
In the paper Optimum Consumption and Portfolio Rules in a continuous-Time Model, by R. C. Merton (J. Econ. Theory 3 (1971), 373-413), solutions obtained in cases when marginal utility at zero consumption is finite are not feasible. While they do satisfy the Hamilton-Jacobi Bellman equations, they do not represent appropriate value functions because the boundary behavior near zero wealth is not satisfactorily dealt with. In this note, we specify the boundary behavior and characterize optimal solutions.
Optimal Consumption And Portfolio Rules With Local Substitution
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Author : Ayman Hindy
language : en
Publisher: Palala Press
Release Date : 2015-09-09
Optimal Consumption And Portfolio Rules With Local Substitution written by Ayman Hindy and has been published by Palala Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-09-09 with categories.
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.
Consumption And Portfolio Decisions When Expected Returns Are Time Varying
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Author : John Y. Campbell
language : en
Publisher:
Release Date : 1996
Consumption And Portfolio Decisions When Expected Returns Are Time Varying written by John Y. Campbell and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996 with Consumption (Economics) categories.
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.
Welfare
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Author : Scott P. Mason
language : en
Publisher:
Release Date : 1979
Welfare written by Scott P. Mason and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1979 with Consumption (Economics) categories.
Robust Consumption And Portfolio Rules With Time Varying Model Confidence
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Author : Bong-Gyu Jang
language : en
Publisher:
Release Date : 2016
Robust Consumption And Portfolio Rules With Time Varying Model Confidence written by Bong-Gyu Jang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.
This paper investigates robust consumption and portfolio rules for an Epstein-Zin type investor who concerns about model misspecifiation. Different from Maenhout (2004), we employ a new state variable, continuation entropy, as a measure of the magnitude of the investor's ambiguity aversion toward the distribution of risky asset return. Numerical results show that the optimal consumption and portfolio rules might change dramatically according to the change in initial entropy level. We find that the optimal consumption can increase even when the investor more concerns about model misspecification and that the magnitude of the investor's elasticity of intertemporal substitution (EIS) in consumption can affect her optimal stockholdings through ambiguity aversion channel. The appendix to this paper may be found at http://ssrn.com/abstract=2747991.