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.

User Contributions:

Comment about this article or add new information about this topic:

Comment:  (50-4000 characters)

Name:

E-mail:

Security Code:

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.

User Contributions:

Comment about this article or add new information about this topic:

Comment:  (50-4000 characters)

Name:

E-mail:

Security Code:

Valuation and martingale properties of shadow prices: An exposition

Article Abstract:

An exposition of valuation and martingale properties of shadow prices is presented.

User Contributions:

Comment about this article or add new information about this topic:

Comment:  (50-4000 characters)

Name:

E-mail:

Security Code: