Consumption and portfolio turnpike theorems in a continuous-time finance model
文献类型：期刊论文
| 作者 | Xing, J |
| 刊名 | JOURNAL OF ECONOMIC DYNAMICS & CONTROL
 |
| 出版日期 | 1998-07-01 |
| 卷号 | 22期号:7页码:1001-1026 |
| 关键词 | turnpike property portfolio and consumption processes utility function regularly varying function change of probability |
| ISSN号 | 0165-1889 |
| 英文摘要 | This paper investigates consumption and portfolio turnpike theorems in a continuous-time model. When the inverse functions of the derivative of utility functions for consumption and investment belong to a special subclass of regularly varying functions, it is shown that optimum portfolio, final wealth and consumption processes for these utility functions can be approximated arbitrarily closely in a suitable sense by those for the corresponding power utility functions. As an immediate consequence, the consumption and investment turnpike theorem is established. Conversely, it is shown that the sufficient condition is also necessary for the turnpike property. Our results generalize those of Cox and Huang (1992). (C) 1998 Elsevier Science B.V. All rights reserved. |
| 语种 | 英语 |
| WOS记录号 | WOS:000074354600002 |
| 出版者 | ELSEVIER SCIENCE BV |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/13526]  |
| 专题 | 中国科学院数学与系统科学研究院 |
| 通讯作者 | Xing, J |
| 作者单位 | Chinese Acad Sci, Inst Syst Sci, Beijing 100080, Peoples R China |
| 推荐引用方式 GB/T 7714 | Xing, J. Consumption and portfolio turnpike theorems in a continuous-time finance model[J]. JOURNAL OF ECONOMIC DYNAMICS & CONTROL,1998,22(7):1001-1026. |
| APA | Xing, J.(1998).Consumption and portfolio turnpike theorems in a continuous-time finance model.JOURNAL OF ECONOMIC DYNAMICS & CONTROL,22(7),1001-1026. |
| MLA | Xing, J."Consumption and portfolio turnpike theorems in a continuous-time finance model".JOURNAL OF ECONOMIC DYNAMICS & CONTROL 22.7(1998):1001-1026. |
入库方式： OAI收割
来源：数学与系统科学研究院
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