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A continuous-time portfolio turnpike theorem


  • Cox, John C.
  • Huang, Chi-fu


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  • 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.
  • Handle: RePEc:eee:dyncon:v:16:y:1992:i:3-4:p:491-507

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    References listed on IDEAS

    1. Fischer, Stanley, 1975. "The Demand for Index Bonds," Journal of Political Economy, University of Chicago Press, vol. 83(3), pages 509-534, June.
    2. Svensson, L.E.O., 1988. "Portfolio Choice And Asset Pricing With Nontraded Assets," Papers 417, Stockholm - International Economic Studies.
    3. Williams, Joseph T, 1978. "Risk, Human Capital, and the Investor's Portfolio," The Journal of Business, University of Chicago Press, vol. 51(1), pages 65-89, January.
    4. Svensson, Lars E. O., 1989. "Portfolio choice with non-expected utility in continuous time," Economics Letters, Elsevier, vol. 30(4), pages 313-317, October.
    5. Merton, Robert C., 1971. "Optimum consumption and portfolio rules in a continuous-time model," Journal of Economic Theory, Elsevier, vol. 3(4), pages 373-413, December.
    6. Constantinides, George M, 1990. "Habit Formation: A Resolution of the Equity Premium Puzzle," Journal of Political Economy, University of Chicago Press, vol. 98(3), pages 519-543, June.
    7. Breeden, Douglas T., 1979. "An intertemporal asset pricing model with stochastic consumption and investment opportunities," Journal of Financial Economics, Elsevier, vol. 7(3), pages 265-296, September.
    8. Paul A. Samuelson, 2011. "Lifetime Portfolio Selection by Dynamic Stochastic Programming," World Scientific Book Chapters,in: THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 31, pages 465-472 World Scientific Publishing Co. Pte. Ltd..
    9. Merton, Robert C, 1969. "Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case," The Review of Economics and Statistics, MIT Press, vol. 51(3), pages 247-257, August.
    10. Williams, Joseph T, 1979. "Uncertainty and the Accumulation of Human Capital over the Life Cycle," The Journal of Business, University of Chicago Press, vol. 52(4), pages 521-548, October.
    11. Bergman, Yaacov Z., 1985. "Time preference and capital asset pricing models," Journal of Financial Economics, Elsevier, vol. 14(1), pages 145-159, March.
    12. Zvi Bodie & William Samuelson, 1989. "Labor Supply Flexibility and Portfolio Choice," NBER Working Papers 3043, National Bureau of Economic Research, Inc.
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    Cited by:

    1. Baojun Bian & Harry Zheng, 2012. "Smooth Value Function with Applications in Wealth-CVaR Efficient Portfolio and Turnpike Property," Papers 1212.3137,
    2. 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.
    3. 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.
    4. 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.
    5. Tianran Geng & Thaleia Zariphopoulou, 2017. "Temporal and Spatial Turnpike-Type Results Under Forward Time-Monotone Performance Criteria," Papers 1702.05649,
    6. Scott Robertson & Hao Xing, 2014. "Long Term Optimal Investment in Matrix Valued Factor Models," Papers 1408.7010,
    7. Sergey Nadtochiy & Michael Tehranchi, 2013. "Optimal investment for all time horizons and Martin boundary of space-time diffusions," Papers 1308.2254,, revised Jan 2014.
    8. Vladimir Cherny & Jan Obloj, 2013. "Optimal portfolios of a long-term investor with floor or drawdown constraints," Papers 1305.6831,
    9. Baojun Bian & Harry Zheng, 2014. "Turnpike Property and Convergence Rate for an Investment Model with General Utility Functions," Papers 1409.7802,
    10. Vassili Kolokoltsov & Wei Yang, 2012. "Turnpike Theorems for Markov Games," Dynamic Games and Applications, Springer, vol. 2(3), pages 294-312, September.
    11. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.

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