Optimal Consumption And Portfolio Rules With Durability And Local Substitution

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Optimal Consumption and Portfolio Rules

Author : Ayman Hindy
Publisher :
ISBN 13 : 9781332273270
Total Pages : 50 pages
Book Rating : 4.2/5 (732 download)

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Book Synopsis Optimal Consumption and Portfolio Rules by : Ayman Hindy

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.

Optimal Consumption and Portfolio Rules with Local Substitution

Author : Ayman Hindy
Publisher : Palala Press
ISBN 13 : 9781378116982
Total Pages : 44 pages
Book Rating : 4.1/5 (169 download)

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Book Synopsis Optimal Consumption and Portfolio Rules with Local Substitution by : Ayman Hindy

Download or read book Optimal Consumption and Portfolio Rules with Local Substitution written by Ayman Hindy and published by Palala Press. This book was released on 2018-02-19 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.

Optimal Consumption and Portfolio Rules with Durability and Local Substitution

Author : Ayman Hindy
Publisher :
ISBN 13 :
Total Pages : 37 pages
Book Rating : 4.:/5 (251 download)

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Book Synopsis Optimal Consumption and Portfolio Rules with Durability and Local Substitution by : Ayman Hindy

Download or read book Optimal Consumption and Portfolio Rules with Durability and Local Substitution written by Ayman Hindy and published by . This book was released on 1991 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Optimal Consumption and Portfolio Rules

Author : Ayman Hindy
Publisher :
ISBN 13 : 9781332273263
Total Pages : 42 pages
Book Rating : 4.2/5 (732 download)

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Book Synopsis Optimal Consumption and Portfolio Rules by : Ayman Hindy

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 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: Excerpt from Optimal Consumption and Portfolio Rules: With Local Substitution We provide sufficient conditions for the existence of a solution to a consumption and portfolio problem in continuous time under uncertainty with an infinite horizon. When the price processes for securities are diffusion processes, optimal policies can be computed by solving a linear partial differential equation. We also provide conditions under which the solution to an infinite horizon problem is the limit of the solutions to finite horizon problems when the horizon increases to infinity. 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 Local Substitution

Author : Ayman Hindy
Publisher : Palala Press
ISBN 13 : 9781342049506
Total Pages : 44 pages
Book Rating : 4.0/5 (495 download)

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Book Synopsis Optimal Consumption and Portfolio Rules with Local Substitution by : Ayman Hindy

Download or read book Optimal Consumption and Portfolio Rules with Local Substitution written by Ayman Hindy 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.

Optimal Consumption and Portfolio Rules With Durability and Habit Formation (Classic Reprint)

Author : Ayman Hindy
Publisher : Forgotten Books
ISBN 13 : 9780656508983
Total Pages : 58 pages
Book Rating : 4.5/5 (89 download)

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Book Synopsis Optimal Consumption and Portfolio Rules With Durability and Habit Formation (Classic Reprint) by : Ayman Hindy

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.

Optimal Consumption and Portfolio Rules with Durability and Habit Formation

Author : Ayman Hindy
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis Optimal Consumption and Portfolio Rules with Durability and Habit Formation by : Ayman Hindy

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.

Methods of Mathematical Finance

Author : Ioannis Karatzas
Publisher : Springer
ISBN 13 : 1493968459
Total Pages : 426 pages
Book Rating : 4.4/5 (939 download)

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Book Synopsis Methods of Mathematical Finance by : Ioannis Karatzas

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.

Optimal Portfolio Management Rules in a Non-Gaussian Market with Durability and Intertemporal Substitution

Author : Fred Espen Benth
Publisher :
ISBN 13 : 9788255312338
Total Pages : 19 pages
Book Rating : 4.3/5 (123 download)

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Book Synopsis Optimal Portfolio Management Rules in a Non-Gaussian Market with Durability and Intertemporal Substitution by : Fred Espen Benth

Download or read book Optimal Portfolio Management Rules in a Non-Gaussian Market with Durability and Intertemporal Substitution written by Fred Espen Benth and published by . This book was released on 2000 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Financial Markets Theory

Author : Emilio Barucci
Publisher : Springer
ISBN 13 : 1447173228
Total Pages : 843 pages
Book Rating : 4.4/5 (471 download)

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Book Synopsis Financial Markets Theory by : Emilio Barucci

Download or read book Financial Markets Theory written by Emilio Barucci and published by Springer. This book was released on 2017-06-08 with total page 843 pages. Available in PDF, EPUB and Kindle. Book excerpt: This work, now in a thoroughly revised second edition, presents the economic foundations of financial markets theory from a mathematically rigorous standpoint and offers a self-contained critical discussion based on empirical results. It is the only textbook on the subject to include more than two hundred exercises, with detailed solutions to selected exercises. Financial Markets Theory covers classical asset pricing theory in great detail, including utility theory, equilibrium theory, portfolio selection, mean-variance portfolio theory, CAPM, CCAPM, APT, and the Modigliani-Miller theorem. Starting from an analysis of the empirical evidence on the theory, the authors provide a discussion of the relevant literature, pointing out the main advances in classical asset pricing theory and the new approaches designed to address asset pricing puzzles and open problems (e.g., behavioral finance). Later chapters in the book contain more advanced material, including on the role of information in financial markets, non-classical preferences, noise traders and market microstructure. This textbook is aimed at graduate students in mathematical finance and financial economics, but also serves as a useful reference for practitioners working in insurance, banking, investment funds and financial consultancy. Introducing necessary tools from microeconomic theory, this book is highly accessible and completely self-contained. Advance praise for the second edition: "Financial Markets Theory is comprehensive, rigorous, and yet highly accessible. With their second edition, Barucci and Fontana have set an even higher standard!"Darrell Duffie, Dean Witter Distinguished Professor of Finance, Graduate School of Business, Stanford University "This comprehensive book is a great self-contained source for studying most major theoretical aspects of financial economics. What makes the book particularly useful is that it provides a lot of intuition, detailed discussions of empirical implications, a very thorough survey of the related literature, and many completely solved exercises. The second edition covers more ground and provides many more proofs, and it will be a handy addition to the library of every student or researcher in the field."Jaksa Cvitanic, Richard N. Merkin Professor of Mathematical Finance, Caltech "The second edition of Financial Markets Theory by Barucci and Fontana is a superb achievement that knits together all aspects of modern finance theory, including financial markets microstructure, in a consistent and self-contained framework. Many exercises, together with their detailed solutions, make this book indispensable for serious students in finance."Michel Crouhy, Head of Research and Development, NATIXIS

Financial Asset Pricing Theory

Author : Claus Munk
Publisher : OUP Oxford
ISBN 13 : 0191654140
Total Pages : 598 pages
Book Rating : 4.1/5 (916 download)

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Book Synopsis Financial Asset Pricing Theory by : Claus Munk

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.

Necessary Conditions

Author : Gary Goertz
Publisher : Rowman & Littlefield
ISBN 13 : 9780742519268
Total Pages : 364 pages
Book Rating : 4.5/5 (192 download)

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Book Synopsis Necessary Conditions by : Gary Goertz

Download or read book Necessary Conditions written by Gary Goertz and published by Rowman & Littlefield. This book was released on 2002 with total page 364 pages. Available in PDF, EPUB and Kindle. Book excerpt: This anthology is devoted to the implications of necessary conditions for social science research, logic, methodology, research design, and theory. Rarely is the contrast between the prevalence of a concept in scholarship and its absence in methodology texts so wide. This book presents hundreds of necessary condition hypotheses representing all areas of political science and all methodologies, and authored by many of the most influential political scientists of the last 50 years. This volume brings together under one cover essential work that deals not only with the analysis of common methodological, logical, and research design errors, but also the proper means to analyse the many ramifications of necessary condition hypotheses and theories.

Paris-Princeton Lectures on Mathematical Finance 2002

Author : Peter Bank
Publisher : Springer
ISBN 13 : 3540448594
Total Pages : 185 pages
Book Rating : 4.5/5 (44 download)

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Book Synopsis Paris-Princeton Lectures on Mathematical Finance 2002 by : Peter Bank

Download or read book Paris-Princeton Lectures on Mathematical Finance 2002 written by Peter Bank and published by Springer. This book was released on 2003-12-10 with total page 185 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Paris-Princeton Lectures in Financial Mathematics, of which this is the first volume, will, on an annual basis, publish cutting-edge research in self-contained, expository articles from outstanding - established or upcoming! - specialists. The aim is to produce a series of articles that can serve as an introductory reference for research in the field. It arises as a result of frequent exchanges between the finance and financial mathematics groups in Paris and Princeton. The present volume sets standards with articles by P. Bank/H. Föllmer, F. Baudoin, L.C.G. Rogers, and M. Soner/N. Touzi.

Mathematical Finance

Author : Michael Kohlmann
Publisher : Birkhäuser
ISBN 13 : 3034882912
Total Pages : 373 pages
Book Rating : 4.0/5 (348 download)

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Book Synopsis Mathematical Finance by : Michael Kohlmann

Download or read book Mathematical Finance written by Michael Kohlmann and published by Birkhäuser. This book was released on 2012-12-06 with total page 373 pages. Available in PDF, EPUB and Kindle. Book excerpt: The year 2000 is the centenary year of the publication of Bachelier's thesis which - together with Harry Markovitz Ph. D. dissertation on portfolio selection in 1952 and Fischer Black's and Myron Scholes' solution of an option pricing problem in 1973 - is considered as the starting point of modern finance as a mathematical discipline. On this remarkable anniversary the workshop on mathematical finance held at the University of Konstanz brought together practitioners, economists and mathematicians to discuss the state of the art. Apart from contributions to the known discrete, Brownian, and Lvy process models, first attempts to describe a market in a reasonable way by a fractional Brownian motion model are presented, opening many new aspects for practitioners and new problems for mathematicians. As most dynamical financial problems are stochastic filtering or control problems many talks presented adaptations of control methods and techniques to the classical financial problems in portfolio selection irreversible investment risk sensitive asset allocation capital asset pricing hedging contingent claims option pricing interest rate theory. The contributions of practitioners link the theoretical results to the steadily increasing flow of real world problems from financial institutions into mathematical laboratories. The present volume reflects this exchange of theoretical and applied results, methods and techniques that made the workshop a fruitful contribution to the interdisciplinary work in mathematical finance.

Exploring General Equilibrium

Author : Fischer Black
Publisher : MIT Press
ISBN 13 : 9780262023825
Total Pages : 340 pages
Book Rating : 4.0/5 (238 download)

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Book Synopsis Exploring General Equilibrium by : Fischer Black

Download or read book Exploring General Equilibrium written by Fischer Black and published by MIT Press. This book was released on 1995 with total page 340 pages. Available in PDF, EPUB and Kindle. Book excerpt: The general equilibrium approach, Black asserts, can be used to explain most of the economy's behavior. It can explain business cycles and growth without using sticky prices, irrationality, economies of scale, or imperfect competition. It can explain the volatility of consumption, output, sales, investment, and inventories with axiomatic utility and constant-returns-to-scale production. It can explain temporary layoffs, job changes with and without intervening unemployment, and the behavior of vacancies. It can explain lower wages in part-time jobs, wages that increase rapidly with time on the job, and the forces that cause migration from poor to rich countries. Although the general equilibrium approach cannot be tested in conventional ways, it can be used to generate examples that explain stylized facts - generalized observations from the real world - that have preoccupied macroeconomists for the last decade. Black contrasts his interpretation of these facts with conventional views. Finally, he reviews a substantial body of literature on these topics.

Statistical Theory and Method Abstracts

Author :
Publisher :
ISBN 13 :
Total Pages : 578 pages
Book Rating : 4.:/5 (4 download)

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Book Synopsis Statistical Theory and Method Abstracts by :

Download or read book Statistical Theory and Method Abstracts written by and published by . This book was released on 1993 with total page 578 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Handbook of Stochastic Analysis and Applications

Author : D. Kannan
Publisher : CRC Press
ISBN 13 : 1482294702
Total Pages : 808 pages
Book Rating : 4.4/5 (822 download)

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Book Synopsis Handbook of Stochastic Analysis and Applications by : D. Kannan

Download or read book Handbook of Stochastic Analysis and Applications written by D. Kannan and published by CRC Press. This book was released on 2001-10-23 with total page 808 pages. Available in PDF, EPUB and Kindle. Book excerpt: An introduction to general theories of stochastic processes and modern martingale theory. The volume focuses on consistency, stability and contractivity under geometric invariance in numerical analysis, and discusses problems related to implementation, simulation, variable step size algorithms, and random number generation.