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Optimal consumption and portfolio policies when asset prices follow a diffusion process · Study

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ArticleOptimal consumption and portfolio policies when asset prices follow a diffusion process

John C. Cox1989

Article1989

Optimal consumption and portfolio policies when asset prices follow a diffusion process

John C. Cox · Chi-fu Huang

1,613 citations·0/0 files stored·Journal of Economic Theory

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Stochastic processes and financial applications Economic theories and models Risk and Portfolio Optimization

Abstract

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Citations in this library

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References

1973The Pricing of Options and Corporate Liabilities 1971Optimum consumption and portfolio rules in a continuous-time model 1979Martingales and arbitrage in multiperiod securities markets 1981Martingales and stochastic integrals in the theory of continuous trading 1979An intertemporal asset pricing model with stochastic consumption and investment opportunities 1991Continuous-Time Finance.

Cited by

2002Strategic Asset Allocation 1999Consumption and Portfolio Decisions when Expected Returns are Time Varying 1999The asymptotic elasticity of utility functions and optimal investment in incomplete markets 2004Arbitrage Theory in Continuous Time 2000Does Option Compensation Increase Managerial Risk Appetite?2001Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices 1991Martingale and Duality Methods for Utility Maximization in an Incomplete Market 2000Asset Pricing at the Millennium

Details

Year1989

Typearticle

Published1989-10-01

VenueJournal of Economic Theory

ISSN-L0022-0531

Languageen

Citations1,613

Files0 public / 0

ShelfStochastic processes and financial applications

Identifiers

doi10.1016/0022-0531(89)90067-7

openalex_workW1963901383

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