Consumption and portfolio turnpike theorems in a continuous-time finance model

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	Consumption and portfolio turnpike theorems in a continuous-time finance model
	Xing, J
	1998-07-01
发表期刊	JOURNAL OF ECONOMIC DYNAMICS & CONTROL
ISSN	0165-1889
卷号	22 期号:7 页码:1001-1026
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.
关键词	turnpike property portfolio and consumption processes utility function regularly varying function change of probability
语种	英语
WOS研究方向	Business & Economics
WOS类目	Economics
WOS记录号	WOS:000074354600002
出版者	ELSEVIER SCIENCE BV
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/13527
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.