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.

Evaluation, Economic aspects, Portfolio management, Investments

---

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.

Insurance, Insurance Carriers and Related Activities, Economics, Research and Development in the Social Sciences and Humanities, INSURANCE CARRIERS, Insurance industry, Securities, Consumption (Economics)

---

Valuation and martingale properties of shadow prices: An exposition

Article Abstract:

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

Asset Accounting

Similar abstracts:

• 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

This website is not affiliated with document authors or copyright owners. This page is provided for informational purposes only. Unintentional errors are possible.