WebWe analyze dynamic portfolio choice problems using an approximate dynamic program-ming (ADP) algorithm. We extend the algorithm to the case of constraints on … WebMar 30, 2024 · In this paper, we investigate the impact of the option to retire and subsequently reverse that decision on an individual's consumption and portfolio …
INCOME AND WEALTH HETEROGENEITY, PORTFOLIO CHOICE, …
WebNov 1, 1991 · Abstract. This paper considers a consumption and investment decision problem for a single agent. Wealth is divided between a riskless asset and a risky asset with logarithmic Brownian motion price fluctuations. Short-selling is not allowed, but borrowing is allowed at rate exceeding the rate of return on the riskless asset. WebOur analysis provides insights into life-cycle portfolio choice relevant for researchers in macroeconomics and finance. In particular, we show that standard models with unlimited borrowing at the riskless rate dramatically overstate the gains to holding equity when compared with collateral-constrained models. cały film creed 2
Market Frictions, Savings Behavior, and Portfolio Choice
WebSection 3 also proves that the consumer will choose a portfolio of stocks which is mean-variance efficient. As a consequence, equilibrium in the stock market requires that all consumers hold the market portfolio. This, of course, implies that the standard capital asset pricing model gives the risk premia of financial WebFeb 1, 1970 · This paper studies effects of two classes of borrowing constraints, collateraland income-based, on wealth accumulation, portfolio behavior and on … WebMar 29, 2006 · We study the optimal retirement and consumption/investment choice of an infinitely‐lived economic agent with a time‐separable von Neumann–Morgenstern utility. A particular aspect of our problem is that the agent has a retirement option. Before retirement the agent receives labor income but suffers a utility loss from labor. caly film online za darmo