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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...
Persistent link: https://www.econbiz.de/10009440005
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,...
Persistent link: https://www.econbiz.de/10009440353
Persistent link: https://www.econbiz.de/10005374165
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...
Persistent link: https://www.econbiz.de/10005102400
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....
Persistent link: https://www.econbiz.de/10005073764
 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...
Persistent link: https://www.econbiz.de/10005073815
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...
Persistent link: https://www.econbiz.de/10008521908
Persistent link: https://www.econbiz.de/10005168149
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,...
Persistent link: https://www.econbiz.de/10005310305
Persistent link: https://www.econbiz.de/10005205180