English, Article, Journal or magazine article edition: Certainty Equivalence in the continuous-time portfolio-cum-saving model Lucien Foldes

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/44784
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Certainty Equivalence in the continuous-time portfolio-cum-saving model
Author
  • Lucien Foldes
Physical Description
  • preprint
Notes
  •  A model of optimal accumulation of capital and portfolio choice over an infinite horizon in continuous time is considered in which the vector process representing returns to investment is a general semimartingale within dependent increments and the welfare functional has the discounted constant relative risk aversion form. The following results are proved under slight conditions. If suitable variable are chosen, the sure (i.e. non-random) plans form a complete class. If an optimal plan exists, then a sure optimal plan exists, and conversely an optimal sure plan is optimal. The problem of portfolio choice can be separated from the problem of optimal saving. Conditions are given for the uniqueness of the portfolio plan optimal plan.
  • RePEc:fmg:fmgdps:dp95
Language
  • English
Contributed by
OAIster

Get this edition

Other links

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment