This lengthy paper extends the author's work on optimal planning of consumption versus capital accumulation to stochastic versions of traditional continuous-time one­sector growth models. Risk is assumed to be exogenous but is otherwise specified in a very general form. An optimal plan is...

The article comments on Kenneth Arrow and Robert Lind's theory on the social costs of risky public projects. The conditions stated by Arrow and Lind as sufficient for the validity of their result include the following: (i) the government initially appropriates all benefits and pays all costs,...

This lengthy paper extends the author's work on optimal planning of consumption versus capital accumulation to stochastic versions of traditional continuous-time one­sector growth models. Risk is assumed to be exogenous but is otherwise specified in a very general form. An optimal plan is...

Concepts of asset valuation based on the martingale properties of shadow (or marginal utility) prices in continuous-time, infinite-horizon stochastic models of optimal saving and portfolio choice are reviewed and compared with their antecedents in static or deterministic economic theory....

 A model of optimal accumulation of capital and portfolio choice over an infinite horizon in continuous time is considered in which the vector process representing returns to investment is a general semimartingale within dependent increments and the welfare functional has the discounted...

This paper is a sequel to the author's "Certainty Equivalence in the Continuous-Time Portfolio-cum-Saving Model" in "Applied Stochastic Analysis" (eds. M. H. A. Davis and R. J. Elliot), where a model of optimal accumulation of capital and portfolio choice over an infinite horizon in continuous...

We consider a neo-classical model of optimal economic growth with c.r.r.a. utility in which the traditional deterministic trends representing population growth, technological progress, depreciation and impatience are replaced by Brownian motions with drift. When transformed to 'intensive' units,...