A continuous-time portfolio turnpike theorem☆
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Cited by (19)
Turnpike property and convergence rate for an investment model with general utility functions
2015, Journal of Economic Dynamics and ControlCitation Excerpt :As a consequence, it is the asymptotic property of his utility function as wealth goes to infinity that determines his optimal investment strategy at the very beginning of his horizon.”, see Cox and Huang (1992). It is natural and interesting to ask if the turnpike property (1.2) still holds for general utilities (strictly increasing, continuous and concave, but not necessarily continuously differentiable and strictly concave) and if the error estimate (1.3) can be established and the convergence rate and the error magnitude can be computed.
Consumption and portfolio turnpike theorems in a continuous-time finance model
1998, Journal of Economic Dynamics and ControlThe assessment of large compounds of independent gambles
1995, Journal of Economic TheoryTurnpike property and convergence rate for an investment and consumption model
2019, Mathematics and Financial Economics
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This is a revised version of the second half of our earlier paper titled ‘A Variational Problem Arising in Financial Economics with an Application to a Portfolio Turnpike Theorem’. We would like to thank Robert Merton and Stephen Ross for helpful conversations.