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Optimal Consumption and Portfolio Strategies in a Continuous-Time Model with Summary-Dependent Preferences

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Essays and Surveys on Multiple Criteria Decision Making

Part of the book series: Lecture Notes in Economics and Mathematical Systems ((LNE,volume 209))

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Abstract

A preference model wherein current wealth and a summary description of past consumption condition preferences for future consumption is used to develop relationships between optimal consumption and portfolio strategies. Financial variables are described by a continuous-time, continuous-state, stochastic process. The results complement and extend results of previous models.

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References

  1. Kushner, H., Introduction to Stochastic Control New York, N.Y., Holt, Rinehart, and Winston (1971).

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  2. Merton, R. C., “Optimum Consumption and Portfolio Rules in a Continuous-Time Model”, Journal of Economic Theory ( 1971, number 4 ), p. 373.

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  3. Merton, R. C., “Lifetime Portfolio Selection Under Uncertainty: The Continuous-Time Case, ” Review of Economics and Statistics (August, 1969 ), p. 247.

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  4. Meyer, R. F., “On the Relationship among the Utility of Assets, the Utility of Consumption, and Investment Strategy in an Uncertain, but Time-Invariant World”, Proceedings of the Fifth International Conference of Operational Research Travistock, (1969), p. 627.

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  5. Meyer, R. F., “Preferences Over Time”, chapter 9 of Decisions with Multiple Objectives: Preferences and Value Tradeoffs (Keeney a Raiffa) (1976), p. 473.

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  6. Sage, A. P. and C. C. White, Optimum Systems Control ( 2nd edition ). Englewood Cliffs, N.J., Prentice-Hall (1977).

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  7. Samuelson, P. A., “Lifetime Portfolio Selection by Dynamic Stochastic Programming”, Reviewing of Economics and Statistics (August 1969), p. 239.

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Author information

Authors and Affiliations

  1. Darden Graduate School of Business Administration, USA

    Samuel E. Bodily

  2. Department of Engineering Science, Systems University of Virginia, USA

    Chelsea C. White

Authors
  1. Samuel E. Bodily
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  2. Chelsea C. White
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Editor information

Editors and Affiliations

  1. Faculté de Sciences Economiques Appliquées, Faculté Universitaire Catholique de Mons, Chaussée de Binche, 151, B-7000, Mons, Belgium

    Pierre Hansen

  2. Institut d’Economie Scientifique et de Gestion, Lille, France

    Pierre Hansen

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© 1983 Springer-Verlag Berlin Heidelberg

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Bodily, S.E., White, C.C. (1983). Optimal Consumption and Portfolio Strategies in a Continuous-Time Model with Summary-Dependent Preferences. In: Hansen, P. (eds) Essays and Surveys on Multiple Criteria Decision Making. Lecture Notes in Economics and Mathematical Systems, vol 209. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-46473-7_1

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  • DOI: https://doi.org/10.1007/978-3-642-46473-7_1

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-11991-3

  • Online ISBN: 978-3-642-46473-7

  • eBook Packages: Springer Book Archive

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