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Optimal consumption and portfolio policies when asset prices follow a diffusion process

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  • Cox, John C.
  • Huang, Chi-fu.

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Suggested Citation

  • Cox, John C. & Huang, Chi-fu., 1987. "Optimal consumption and portfolio policies when asset prices follow a diffusion process," Working papers 1926-87., Massachusetts Institute of Technology (MIT), Sloan School of Management.
    • Handle: RePEc:mit:sloanp:2181
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    File URL: http://hdl.handle.net/1721.1/2181
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    References listed on IDEAS

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    1. 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.
    2. Stanley R. Pliska, 1986. "A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios," Mathematics of Operations Research, INFORMS, vol. 11(2), pages 371-382, May.
    3. Huang, Chi-fu, 1985. "Information structures and viable price systems," Journal of Mathematical Economics, Elsevier, vol. 14(3), pages 215-240, June.
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    Cited by:

    1. Walter Willinger & Murad S. Taqqu, 1991. "Toward A Convergence Theory For Continuous Stochastic Securities Market Models1," Mathematical Finance, Wiley Blackwell, vol. 1(1), pages 55-59, January.
    2. Cox, John C. & Huang, Chi-fu., 1989. "A variational problem arising in financial economics," Working papers 2110-89., Massachusetts Institute of Technology (MIT), Sloan School of Management.
    3. Marcet, Albert & Singleton, Kenneth J., 1999. "Equilibrium Asset Prices And Savings Of Heterogeneous Agents In The Presence Of Incomplete Markets And Portfolio Constraints," Macroeconomic Dynamics, Cambridge University Press, vol. 3(2), pages 243-277, June.
    4. Philip H. Dybvig, Chi-fu Huang, 1988. "Nonnegative Wealth, Absence of Arbitrage, and Feasible Consumption Plans," The Review of Financial Studies, Society for Financial Studies, vol. 1(4), pages 377-401.

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