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Saturday, May 9, 2020 | History

4 edition of Optimal consumption and portfolio rules with durability and local substitution found in the catalog.

Optimal consumption and portfolio rules with durability and local substitution

by Ayman Hindy

  • 190 Want to read
  • 4 Currently reading

Published by Sloan School of Management, Massachusetts Institute of Technology in Cambridge, Mass .
Written in English


Edition Notes

StatementAyman Hindy and Chi-fu Huang.
SeriesWP -- #3367-92-EFA, Working paper (Sloan School of Management) -- 3367-92.
ContributionsHuang, Chi-fu., Sloan School of Management.
The Physical Object
Pagination37 p., [6] leaves of plates :
Number of Pages37
ID Numbers
Open LibraryOL17937381M
OCLC/WorldCa25121341

  Accordingly, the optimal portfolio is dominated by a mean-variance component in good times and rebalanced more aggressively toward stocks in bad times. This consumption-investment strategy contrasts with customary portfolio theory and is consistent with several recent stylized facts about investors' by: 1. Robust Portfolio Rules and Asset Pricing Abstract: I present a new approach to the dynamic portfolio and consumption problem of an investor who worries about model uncertainty (in addition to market risk) and seeks optimal portfolio share in equities of an investor with power utility facing i.i.d. stock returns.

  () Local Discontinuous Galerkin Method for Portfolio Optimization with Transaction Costs. SSRN Electronic Journal. () Maximum principle for optimal control problems of backward regime-switching systems involving impulse by: Start studying Chapter Learn vocabulary, terms, and more with flashcards, games, and other study tools. Search. Create. optimal consumption rule. when a consumer maximizes utility, the marginal utility per dollar spent must be the same for all goods and services in the consumption bundle substitution effect.

Portfolio optimization in a jump-diffusion market with durability and local substitution: A penalty approximation of a singular control problem. Holden, Nina. Master thesis. The driving stochastic process of the portfolio optimization problem is a L evy process, and the HJB equation of the problem is a non-linear second order degenerate.   It is also known as the Optimal Consumption Rule. (The optimal consumption bundle satisfies this rule) Term. Whenever the marginal utility per dollar is higher for one good than for another good, the consumer should spend_____. By doing this, the consumer will _____. The Substitution Effect of a change in the price of a good is the change.


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Optimal consumption and portfolio rules with durability and local substitution by Ayman Hindy Download PDF EPUB FB2

Differentapproachtoestablishoptimality. Weprovidenecessaryandsufficientconditionsforaconsumption-portfoliopolicytobe optimal. Optimal consumption and portfolio rules with durability and local substitution [Ayman Hindy, Chi-fu Huang, Sloan School of Management] on *FREE* shipping on qualifying offers.

This is a reproduction of a book published before This book may have occasional imperfections such as missing or blurred pages. Includes bibliographical references (p. ) Optimal consumption and portfolio rules with durability and local substitutionPages: Downloadable (with restrictions).

A model of optimal consumption and portfolio choice that captures the notions of local substitution and irreversible purchases of durable goods is studied. Necessary and sufficient conditions for a consumption and portfolio policy to be optimal are provided. A closed-form solution of the optimal consumption and portfolio policy is given.

The difference is that an efficient portfolio is one that offers the lowest risk for the greatest return or vice versa. An optimal portfolio is one that is preferred by investors because it is. models;whilelocalsubstitution,ordurability,tion,givenlocalsubstitution,or durability, habit formation overlonghorizons becomes more significantin its explanatory power.

These results imply thata modelwhichcombines local substitution and habit formation may. We consider an optimal portfolio-consumption problem which incorporates the notions of durability and intertemporal substitution. The logreturns of the uncertain assets are not necessarily normally distributed.

The natural models then involve Lévy processes as driving noise instead of the more frequently used Brownian motion.

The optimization problem is a singular stochastic control problem Cited by: Journal of Economie Dynamics and Control ELSEVIER 21 () JOURNAL OF Economic Dynamics & Control Optimal consumption and portfolio rules with durability and habit formation Ayman Hindy3, Chi-fu Huang*-8, Steven H.

Zhu1' '' Long Term Capital Management, Greenwich, CTUSA b First Chicago NBD, Chicago, ILUSA (Received November ; final version received May Cited by: Yang, Yunhong, "Existence of optimal consumption and portfolio rules with portfolio constraints and stochastic income, durability and habit formation," Journal of Mathematical Economics, Elsevier, vol.

33(2), pagesMarch. Wei-Ting Pan, In the preference structure with durability and habit formation, the results on the general existence of optimal consumption and portfolio rules are not available.

In order to resolve the equity premium puzzle, Constantinides () provided a closed form solution for a particular felicity function when the prices of the assets follow a Cited by: 2. Optimal Consumption and Portfolio Rules With Local Substitution.

by Ayman Hindy, Chi-fu Huang, et al by Chi-fu Huang and Sloan School of Management $ $ Get it as soon as Tue, Mar FREE Shipping on orders over $25 shipped by Amazon. Optimal consumption and portfolio rules with durability and habit formation.

by Ayman. Optimal Consumption and Portfolio Rules with Durability and Habit Formation. In This Section. Faculty & Research › Working Papers › Optimal Consumption and Portfolio Rules with Durability and the model captures the idea of a dual purpose commodity.

The optimal allocation problem is from the class of free boundary singular control. Discover Book Depository's huge selection of Ayman Hindy books online. Free delivery worldwide on over 20 million titles. Optimal Consumption and Portfolio Rules with Durability and Local Substitution. Ayman Hindy.

08 Sep Paperback. unavailable. Try AbeBooks. Optimal Consumption and Portfolio Rules with Durability and Habit Formation. No-transaction bounds and estimation risk. Optimal Consumption and Portfolio Rules with Durability and Local Substitution A model of optimal consumption and portfolio choice that captures Author: Vasyl Golosnoy.

Hindy and C. Huang, Optimal consumption and portfolio rules with durability and local substitution, Econometrica, 61 (), 85– MathSciNet zbMATH CrossRef Google Scholar [10]Cited by: 6. Consumption, Saving, & Portfolio Choice Revised: October 1, Another building block for thinking about business cycles and asset returns is what we’ll call the consumer’s problem: how an individual might decide between current consumption and saving for future consumption, and how that saving is allocated across assets.

We’ll. We prove existence of optimal investment-consumption strategies for an innite horizon portfolio optimization problem in a Levy market with intertemporal substitution and transaction costs. We will study a problem of optimal consumption and portfolio selection. An investor e ects of the notions of durability and local substitution, makes the integro-PDE very di cult to solve.

This thesis presents a penalty approximation to the HJB equation, article or book, the reference may be given at the beginning of the section/chapter. Optimal Consumption and Portfolio Rules with Durability and Habit Formation Add to basket.

Optimal Consumption and Portfolio Rules with Local Substitution. Chi-Fu Huang. 03 Mar Paperback. US$ Add to basket 09 Sep Hardback. US$ Add to basket. Optimal Consumption and Portfolio Rules with Durability and Habit.

The optimal portfolio is characterized as the maximizer of a deterministic function g de ned in terms of the Lévy triplet; and the maximum aluev of g yields the optimal consumption. The function g is closely related to the random function mentioned above. While it is clear that the niteness of the.

Microeconomics Assignment Help, Explain about the optimal consumption rule, Explain about the optimal consumption rule. The optimal consumption rule: While a consumer maximizes utility, the marginal utility per dollar spent should be similar for all goods and services into the consumption bundle.

MU C. () Optimal consumption and portfolio rules with durability and habit formation. Journal of Economic Dynamics and Control() On an Investment-Consumption Model with Transaction by: Optimal Asset Allocation and Consumption Rule in a Stochastic Volatility Model J. Coulon1, Y. Malevergne2,3,4 and F.

Quittard-Pinon3,5 1 Scor SE Zurich branch, Switzerland 2 Universite´ de Lyon, Universite´ de Saint-Etienne, Coactis E.A.France 3 EMLYON Business School, France 4 ETH Zurich, Switzerland 5 Universite´ de Lyon, Universite´ Lyon 1, ISFA, France.