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Long-Run Stockholder Consumption Risk and Asset Returns
Asset Pricing Stocks Investment Return Investment Portfolio Risk Management
2015/4/22
We provide new evidence on the success of long-run risks in asset pricing by focusing on the risks borne by stockholders. Exploiting micro-level household consumption data, we show that long-run stock...
Optimal investment and consumption in a Black--Scholes market with Lévy-driven stochastic coefficients
Optimal investment consumption Black--Scholes market Lévy-driven stochastic coefficients
2010/12/20
In this paper, we investigate an optimal investment and consumption problem for an investor who trades in a Black--Scholes financial market with stochastic coefficients driven by a non-Gaussian Ornst...
Minimizing the Probability of Ruin when Consumption is Ratcheted
Self-annuitization optimal investment stochastic optimal control probability of ruin ratcheting of consumption
2010/12/20
We assume that an agent's rate of consumption is {\it ratcheted}; that is, it forms a non-decreasing process. Given the rate of consumption, we act as financial advisers and find the optimal investmen...