Portfolio Turnpike Theorems, Risk Aversion, and Regularly Varying Utility Functions
From MaRDI portal
Publication:3670867
DOI10.2307/1912278zbMath0521.90014OpenAlexW2075200319MaRDI QIDQ3670867
No author found.
Publication date: 1983
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/1912278
risk aversionportfolio selection problemoptimal investment policyArrow-Pratt coefficientportfolio turnpike theorems
Related Items
Long-Term Optimal Investment in Matrix Valued Factor Models ⋮ STATIC FUND SEPARATION OF LONG-TERM INVESTMENTS ⋮ Turnpike theorems for Markov games ⋮ Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model ⋮ Consumption and portfolio turnpike theorems in a continuous-time finance model ⋮ Turnpike property and convergence rate for an investment and consumption model ⋮ Portfolios and risk premia for the long run ⋮ ROBUST PORTFOLIOS AND WEAK INCENTIVES IN LONG-RUN INVESTMENTS ⋮ Abstract, classic, and explicit turnpikes ⋮ A continuous-time portfolio turnpike theorem ⋮ Dynamic portfolio choice under asset price lognormality ⋮ A Characterization of the Optimal Certainty Equivalent of the Average Cost via the Arrow-Pratt Sensitivity Function ⋮ The long-run behavior of consumption and wealth dynamics in complete financial market with heterogeneous investors