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Optimum consumption and portfolio rules in a continuous-time model. (English) Zbl 1011.91502
From the introduction: In an earlier paper [the author, Rev. Econ. Stat. 51, 247-257 (1969)], we examined the continuous-time consumption-portfolio problem for an individual whose income is generated by capital gains on investments in assets with prices assumed to satisfy the ‘geometric Brownian motion’ hypothesis; i.e., we studied MaxE 0 T U(C,t)dt. The present paper extends these results for more general utility functions, price behavior assumptions, and for income generated also from noncapital gains sources. It is shown that if the ‘geometric Brownian motion’ hypothesis is accepted, then a general ‘separation’ or ‘mutual fund’ theorem can be proved such that, in this model, the classical Tobin mean-variance rules hold without the objectionable assumptions of quadratic utility or of normality of distributions for prices.”.

MSC:
91B28Finance etc. (MSC2000)
91B16Utility theory