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Consumption and portfolio turnpike theorems in a continuous-time finance model1

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  • Jin, Xing

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  • Jin, Xing, 1998. "Consumption and portfolio turnpike theorems in a continuous-time finance model1," Journal of Economic Dynamics and Control, Elsevier, vol. 22(7), pages 1001-1026, May.
    • Handle: RePEc:eee:dyncon:v:22:y:1998:i:7:p:1001-1026
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    References listed on IDEAS

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    1. Cox, John C. & Huang, Chi-fu, 1992. "A continuous-time portfolio turnpike theorem," Journal of Economic Dynamics and Control, Elsevier, vol. 16(3-4), pages 491-507.
    2. Hakansson, Nils H., 1974. "Convergence to isoelastic utility and policy in multiperiod portfolio choice," Journal of Financial Economics, Elsevier, vol. 1(3), pages 201-224, September.
    3. Huberman, Gur & Ross, Stephen, 1983. "Portfolio Turnpike Theorems, Risk Aversion, and Regularly Varying Utility Functions," Econometrica, Econometric Society, vol. 51(5), pages 1345-1361, September.
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    Cited by:

    1. Guasoni, Paolo & Muhle-Karbe, Johannes & Xing, Hao, 2017. "Robust portfolios and weak incentives in long-run investments," LSE Research Online Documents on Economics 60577, London School of Economics and Political Science, LSE Library.
    2. Paolo Guasoni & Scott Robertson, 2012. "Portfolios and risk premia for the long run," Papers 1203.1399, arXiv.org.
    3. Baojun Bian & Harry Zheng, 2018. "Turnpike Property and Convergence Rate for an Investment and Consumption Model," Papers 1808.04265, arXiv.org.
    4. Paolo Guasoni & Constantinos Kardaras & Scott Robertson & Hao Xing, 2014. "Abstract, classic, and explicit turnpikes," Finance and Stochastics, Springer, vol. 18(1), pages 75-114, January.
    5. Bian, Baojun & Zheng, Harry, 2015. "Turnpike property and convergence rate for an investment model with general utility functions," Journal of Economic Dynamics and Control, Elsevier, vol. 51(C), pages 28-49.
    6. Baojun Bian & Harry Zheng, 2014. "Turnpike Property and Convergence Rate for an Investment Model with General Utility Functions," Papers 1409.7802, arXiv.org.
    7. Tianran Geng & Thaleia Zariphopoulou, 2017. "Temporal and Spatial Turnpike-Type Results Under Forward Time-Monotone Performance Criteria," Papers 1702.05649, arXiv.org.
    8. Paolo Guasoni & Gu Wang, 2020. "Consumption in incomplete markets," Finance and Stochastics, Springer, vol. 24(2), pages 383-422, April.
    9. Darong Dai, 2014. "The Long-Run Behavior of Consumption and Wealth Dynamics in Complete Financial Market with Heterogeneous Investors," Journal of Applied Mathematics, Hindawi, vol. 2014, pages 1-16, July.
    10. Scott Robertson & Hao Xing, 2014. "Long Term Optimal Investment in Matrix Valued Factor Models," Papers 1408.7010, arXiv.org.

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