A continuous-time portfolio turnpike theorem
Article Abstract:
A study was done to determine the validity of a continuous-time portfolio theorem. The mathematical notion of martingales is applied for the theorem's proof, which was chosen over the discrete-time mode of proof with dynamic programming. A positive interest rate allows the present value of a contingent claim with bounded payoffs to be set at small levels as investment opportunities are expanded. Thus, investors allocate their wealth for contingent claims with unbounded payoffs.
Publication Name: Journal of Economic Dynamics & Control
Subject: Economics
ISSN: 0165-1889
Year: 1992
User Contributions:
Comment about this article or add new information about this topic:
A simple model of incomplete insurance: the case of permanent shocks
Article Abstract:
A simple model of incomplete insurance was formulated to analyze the effects of permanent shocks on asset pricing and consumption growth. The model, which was developed through introduction of permanent idiosyncratic shocks into an Ak type endogenous growth model, has the ability to enhance forecasting of risk-free rates. It also has the ability to illustrate the impact of precautionary savings arising from uninsured shocks on consumption growth and asset pricing.
Publication Name: Journal of Economic Dynamics & Control
Subject: Economics
ISSN: 0165-1889
Year: 1998
User Contributions:
Comment about this article or add new information about this topic:
Valuation and martingale properties of shadow prices: An exposition
Article Abstract:
An exposition of valuation and martingale properties of shadow prices is presented.
Publication Name: Journal of Economic Dynamics & Control
Subject: Economics
ISSN: 0165-1889
Year: 2000
User Contributions:
Comment about this article or add new information about this topic:
- Abstracts: Optimality of incomplete markets. The use of an agent in a signalling model. Bargaining on behalf of a constituency
- Abstracts: Transaction costs and contractual incompleteness: the case of Electricite de France. Alternating-announcements cheap talk
- Abstracts: Contractual incompleteness and the optimality of equity joint ventures. Organizational communication structure and performance
- Abstracts: What does determine the profit rate? The neoclassical theories presented in introductory textbooks. The demise of radical political economics? An essay on the evolution of a theory of capitalist production
- Abstracts: The classical theory of production and the capabilities view of the firm. The demand for imports and economic reform in Spain