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Emeritus Professor of Economics, LSE
Lucien Foldes
Research Associates
Emeritus Professor of Economics. Member of Financial Markets Group and Systemic Risk Centre, LSE.
Publications
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...
DP 479
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...
DP 342
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...
DP 109
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...
DP 106
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...
DP 95
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...
DP 53
