Optimal consumption-portfolio policies: A convergence from discrete to continuous time models

DOI10.1016/0022-0531(91)90044-5zbMath0743.90027OpenAlexW2003141369MaRDI QIDQ1181669

Hua He

Publication date: 27 June 1992

Published in: Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0022-0531(91)90044-5

zbMATH Keywords

continuous time multidimensional diffusion modeloptimal intertemporal consumption

Mathematics Subject Classification ID

Economic growth models (91B62) Diffusion processes (60J60)

Related Items (9)

Convergence of optimal expected utility for a sequence of binomial models ⋮ INCOMPLETE MARKETS AND SHORT-SALES CONSTRAINTS: AN EQUILIBRIUM APPROACH ⋮ Mean-risk portfolio management with bankruptcy prohibition ⋮ From Discrete to Continuous Financial Models: New Convergence Results For Option Pricing ⋮ Discrete approximation of finite-horizon American-style options ⋮ Unnamed Item ⋮ Continuity of utility maximization under weak convergence ⋮ BEHAVIORAL PORTFOLIO SELECTION: ASYMPTOTICS AND STABILITY ALONG A SEQUENCE OF MODELS ⋮ CONTINUITY OF UTILITY-MAXIMIZATION WITH RESPECT TO PREFERENCES

Cites Work

• Unnamed Item
• Optimum consumption and portfolio rules in a continuous-time model
• Transactions costs and portfolio choice in a discrete-continuous-time setting
• Optimal consumption and portfolio policies when asset prices follow a diffusion process
• Martingales and arbitrage in multiperiod securities markets
• Option pricing: A simplified approach
• Optimal Investment and Consumption Strategies Under Risk for a Class of Utility Functions

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