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Optimal consumption-portfolio policies: A convergence from discrete to continuous time models


  • He, Hua


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  • He, Hua, 1991. "Optimal consumption-portfolio policies: A convergence from discrete to continuous time models," Journal of Economic Theory, Elsevier, vol. 55(2), pages 340-363, December.
  • Handle: RePEc:eee:jetheo:v:55:y:1991:i:2:p:340-363

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    References listed on IDEAS

    1. Tapan Mitra & Henry Y. Wan, 1985. "Some Theoretical Results on the Economics of Forestry," Review of Economic Studies, Oxford University Press, vol. 52(2), pages 263-282.
    2. Benhabib, Jess & Rustichini, Aldo, 1989. "A Vintage Capital Model Of Investment And Growth: Theory And Evidence," Working Papers 89-26, C.V. Starr Center for Applied Economics, New York University.
    3. Mitra, Tapan & Wan, Henry Jr., 1986. "On the faustmann solution to the forest management problem," Journal of Economic Theory, Elsevier, vol. 40(2), pages 229-249, December.
    4. McKenzie, Lionel W., 1979. "Optimal Economic Growth and Turnpike Theorems," Working Papers 267, California Institute of Technology, Division of the Humanities and Social Sciences.
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    1. repec:dau:papers:123456789/5374 is not listed on IDEAS
    2. Bertsimas, Dimitris & Kogan, Leonid & Lo, Andrew W., 2000. "When is time continuous?," Journal of Financial Economics, Elsevier, vol. 55(2), pages 173-204, February.
    3. repec:spr:compst:v:76:y:2012:i:1:p:21-41 is not listed on IDEAS
    4. Johannes Temme, 2012. "Power utility maximization in exponential Lévy models: convergence of discrete-time to continuous-time maximizers," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 76(1), pages 21-41, August.
    5. Kasper Larsen, 2009. "Continuity Of Utility-Maximization With Respect To Preferences," Mathematical Finance, Wiley Blackwell, vol. 19(2), pages 237-250.
    6. Chabakauri, Georgy, 2015. "Dynamic equilibrium with rare events and heterogeneous Epstein-Zin investors," LSE Research Online Documents on Economics 60737, London School of Economics and Political Science, LSE Library.

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