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| Author | : Ayman Hindy |
| Publisher | : |
| Total Pages | : 37 |
| Release | : 1991 |
| Genre | : |
| ISBN | : |
| Author | : Ayman Hindy |
| Publisher | : |
| Total Pages | : 50 |
| Release | : 2015-08-05 |
| Genre | : Business & Economics |
| ISBN | : 9781332273270 |
Excerpt from Optimal Consumption and Portfolio Rules: With Durability and Local Substitution We study a model of optimal consumption and portfolio choice which captures, in two different interpretations, the notions of local substitution and irreversible purchases of durable goods. The class of preferences we consider excludes all nonlinear time-additive and nearly all the non-time-additive utility functions used in the literature. We discuss heuristically necessary conditions and provide sufficient conditions for a consumption and portfolio policy to be optimal. Furthermore, we demonstrate our general theory by solving in a closed form the optimal consumption and portfolio policy for a particular felicity function when the prices of the assets follow a geometric Brownian motion process. The optimal consumption policy in our solution consists of a possible initial "gulp" of consumption, or a period of no consumption, followed by a process of accumulated consumption with singular sample paths. In almost all states of nature, the agent consumes periodically and invests more in the risky assets than an agent with time-additive utility whose felicity function has the same curvature and the same time-discount parameter. We compute the equilibrium risk premium in a representative investor economy with a single physical production technology whose rate of return follows a Brownian motion. In addition, we provide some simulation results that demonstrate the properties of the purchase series for durable goods with different half-lives. About the Publisher Forgotten Books publishes hundreds of thousands of rare and classic books. Find more at www.forgottenbooks.com This book is a reproduction of an important historical work. Forgotten Books uses state-of-the-art technology to digitally reconstruct the work, preserving the original format whilst repairing imperfections present in the aged copy. In rare cases, an imperfection in the original, such as a blemish or missing page, may be replicated in our edition. We do, however, repair the vast majority of imperfections successfully; any imperfections that remain are intentionally left to preserve the state of such historical works.
| Author | : Ayman Hindy |
| Publisher | : Forgotten Books |
| Total Pages | : 40 |
| Release | : 2018-02-12 |
| Genre | : Mathematics |
| ISBN | : 9780656401918 |
Excerpt from Optimal Consumption and Portfolio Rules: With Local Substitution Now consider an agent with a time-additive utility function for consumption, u(c, t) and an initial wealth W0 0. Assume throughout that u(c, t) is continuous in concave and increasing in c, and is possibly unbounded from below at c 0. This agent wants to manage a portfolio of the risky securities and the bond, and withdraw funds out of the portfolio to maximize his expected utility of consumption over time. Our task here is to find conditions on the utility function and on the price processes to guarantee the existence of a solution to the agent's problem. About the Publisher Forgotten Books publishes hundreds of thousands of rare and classic books. Find more at www.forgottenbooks.com This book is a reproduction of an important historical work. Forgotten Books uses state-of-the-art technology to digitally reconstruct the work, preserving the original format whilst repairing imperfections present in the aged copy. In rare cases, an imperfection in the original, such as a blemish or missing page, may be replicated in our edition. We do, however, repair the vast majority of imperfections successfully; any imperfections that remain are intentionally left to preserve the state of such historical works.
| Author | : Ayman Hindy |
| Publisher | : Palala Press |
| Total Pages | : 44 |
| Release | : 2015-09-09 |
| Genre | : |
| ISBN | : 9781342049506 |
This work has been selected by scholars as being culturally important, and is part of the knowledge base of civilization as we know it. This work was reproduced from the original artifact, and remains as true to the original work as possible. Therefore, you will see the original copyright references, library stamps (as most of these works have been housed in our most important libraries around the world), and other notations in the work. This work is in the public domain in the United States of America, and possibly other nations. Within the United States, you may freely copy and distribute this work, as no entity (individual or corporate) has a copyright on the body of the work.As a reproduction of a historical artifact, this work may contain missing or blurred pages, poor pictures, errant marks, etc. Scholars believe, and we concur, that this work is important enough to be preserved, reproduced, and made generally available to the public. We appreciate your support of the preservation process, and thank you for being an important part of keeping this knowledge alive and relevant.
| Author | : Ayman Hindy |
| Publisher | : Palala Press |
| Total Pages | : 54 |
| Release | : 2018-02-19 |
| Genre | : |
| ISBN | : 9781378117347 |
This work has been selected by scholars as being culturally important, and is part of the knowledge base of civilization as we know it. This work was reproduced from the original artifact, and remains as true to the original work as possible. Therefore, you will see the original copyright references, library stamps (as most of these works have been housed in our most important libraries around the world), and other notations in the work. This work is in the public domain in the United States of America, and possibly other nations. Within the United States, you may freely copy and distribute this work, as no entity (individual or corporate) has a copyright on the body of the work. As a reproduction of a historical artifact, this work may contain missing or blurred pages, poor pictures, errant marks, etc. Scholars believe, and we concur, that this work is important enough to be preserved, reproduced, and made generally available to the public. We appreciate your support of the preservation process, and thank you for being an important part of keeping this knowledge alive and relevant.
| Author | : Ayman Hindy |
| Publisher | : Forgotten Books |
| Total Pages | : 58 |
| Release | : 2018-03 |
| Genre | : Business & Economics |
| ISBN | : 9780656508983 |
Excerpt from Optimal Consumption and Portfolio Rules With Durability and Habit Formation We entertain three different economic ideas in three different interpretations of the model specified in and In one interpretation, preferences given by (1) exhibit the notions of local substitution and habit formation. Agents with such preferences treat consumptions at adjacent dates as close substitutes and consumptions at distant dates as complements. In a second interpretation, the model represents habit forming preferences over the service flows from irreversible purchases of a durable good that decays over time. In the third interpretation, the model represents preferences for consumption of a dual purpose commodity that provides the agent with two sources of utility. The two components of such a composite good, however, have different half - lives. About the Publisher Forgotten Books publishes hundreds of thousands of rare and classic books. Find more at www.forgottenbooks.com This book is a reproduction of an important historical work. Forgotten Books uses state-of-the-art technology to digitally reconstruct the work, preserving the original format whilst repairing imperfections present in the aged copy. In rare cases, an imperfection in the original, such as a blemish or missing page, may be replicated in our edition. We do, however, repair the vast majority of imperfections successfully; any imperfections that remain are intentionally left to preserve the state of such historical works.
| Author | : Ayman Hindy |
| Publisher | : |
| Total Pages | : |
| Release | : 2005 |
| Genre | : |
| ISBN | : |
We study a model of consumption choice and portfolio allocation that captures, in two different interpretations, the combined effect of local substitution and habit formation and the combined effect of durability of consumption goods and habit formation over service flows from those goods. In a third interpretation, the model captures the idea of a dual purpose commodity. The optimal allocation problem is from the class of free boundary singular control problems. We discuss, formally, necessary, and sufficient conditions for a consumption and portfolio policy to be optimal. We also introduce a numerical technique based on approximating the original program by a sequence of discrete parameter Markov chain control problems. We provide convergence results of the value function, the optimal investment policy, and the optimal consumption regions in the approximating discrete control problems to those in the original continuous time dynamic program. We construct numerically the consumption boundary that divides the state space into two regions - one of immediate consumption and the other of abstinence. We show that both the wealth required to start consuming and the optimal fraction of wealth invested in the risky asset are cyclical functions in both the stock of the durable good and the standard of living. This is due to the interaction between the durability and habit formation effects. We also study the effect of the cyclical investment behavior on the equilibrium risk premium in a representative consumer economy.
| Author | : Kerry Back |
| Publisher | : Oxford University Press |
| Total Pages | : 504 |
| Release | : 2010-08-12 |
| Genre | : Business & Economics |
| ISBN | : 019970144X |
In Asset Pricing and Portfolio Choice Theory, Kerry E. Back at last offers what is at once a welcoming introduction to and a comprehensive overview of asset pricing. Useful as a textbook for graduate students in finance, with extensive exercises and a solutions manual available for professors, the book will also serve as an essential reference for scholars and professionals, as it includes detailed proofs and calculations as section appendices. Topics covered include the classical results on single-period, discrete-time, and continuous-time models, as well as various proposed explanations for the equity premium and risk-free rate puzzles and chapters on heterogeneous beliefs, asymmetric information, non-expected utility preferences, and production models. The book includes numerous exercises designed to provide practice with the concepts and to introduce additional results. Each chapter concludes with a notes and references section that supplies pathways to additional developments in the field.
| Author | : René Carmona |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 190 |
| Release | : 2003 |
| Genre | : Business mathematics |
| ISBN | : 9783540401933 |
| Author | : Ioannis Karatzas |
| Publisher | : Springer |
| Total Pages | : 426 |
| Release | : 2017-01-10 |
| Genre | : Mathematics |
| ISBN | : 1493968459 |
This sequel to Brownian Motion and Stochastic Calculus by the same authors develops contingent claim pricing and optimal consumption/investment in both complete and incomplete markets, within the context of Brownian-motion-driven asset prices. The latter topic is extended to a study of equilibrium, providing conditions for existence and uniqueness of market prices which support trading by several heterogeneous agents. Although much of the incomplete-market material is available in research papers, these topics are treated for the first time in a unified manner. The book contains an extensive set of references and notes describing the field, including topics not treated in the book. This book will be of interest to researchers wishing to see advanced mathematics applied to finance. The material on optimal consumption and investment, leading to equilibrium, is addressed to the theoretical finance community. The chapters on contingent claim valuation present techniques of practical importance, especially for pricing exotic options.
