The Optimal Consumption Function in a Brownian Model of Accumulation. Part C: A Dynamical System Formulation
This Paper continues the study of the Optimal Consumption Function in a Brownian Model of Accumulation, see Part A [2001] and Part B [2014]; a...
The Optimal Consumption Function in a Brownian Model of Accumulation Part B: Existence of Solutions of Boundary Value Problems
In Part A of the present study, subtitled 'The Consumption Function as Solution of a Boundary Value Problem' Discussion Paper No. TE/96/297, STICERD...
Continous time optimal stochastic growth: local martingales, transversality and existence
The present work deals with optimal planning in continuous time, infinite horizon, stochastic neo-classical one-sector models of economic growth (or...
Valuation and Martingale properties of shadow prices
Concepts of asset valuation based on the martingale properties of shadow (or marginal utility) prices in continuous-time, infinite-horizon stochastic...
Existence and uniqueness of an optimum in the infinite-horizon portfolio-cum-saving model with semimartingale investments
The model considered here is essentially that formulated in the author's previous paper Conditions for Optimality in the Infinite-Horizon Portfolio...
Optimal sure portfolio plans
This paper is a sequel to [2], where a model of optimal accumulation of capital and portfolio choice over an infinite horizon in continuous time was...
Certainty equivalence in the continuous-time portfolio-cum-saving model
A model of optimal accumulation of capital and portfolio choice over an infinite horizon in continuous time is considered in which the vector process...
Conditions for optimality in the infinite-horizon portfolio-cum-saving problem with semimartingale investments
A model of optimal accumulation of capital and portfolio choice over an infinite horizon in continuous time is formulated in which the vector process...
