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A continuous-time portfolio turnpike theorem

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  • Cox, John C.
  • Huang, Chi-fu

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Suggested Citation

  • Cox, John C. & Huang, Chi-fu, 1992. "A continuous-time portfolio turnpike theorem," Journal of Economic Dynamics and Control, Elsevier, vol. 16(3-4), pages 491-507.
    • Handle: RePEc:eee:dyncon:v:16:y:1992:i:3-4:p:491-507
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    Citations

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    Cited by:

    1. Baojun Bian & Harry Zheng, 2012. "Smooth Value Function with Applications in Wealth-CVaR Efficient Portfolio and Turnpike Property," Papers 1212.3137, arXiv.org.
    2. Guasoni, Paolo & Muhle-Karbe, Johannes & Xing, Hao, 2017. "Robust portfolios and weak incentives in long-run investments," LSE Research Online Documents on Economics 60577, London School of Economics and Political Science, LSE Library.
    3. Baojun Bian & Harry Zheng, 2018. "Turnpike Property and Convergence Rate for an Investment and Consumption Model," Papers 1808.04265, arXiv.org.
    4. Jin, Xing, 1998. "Consumption and portfolio turnpike theorems in a continuous-time finance model1," Journal of Economic Dynamics and Control, Elsevier, vol. 22(7), pages 1001-1026, May.
    5. Bian, Baojun & Zheng, Harry, 2015. "Turnpike property and convergence rate for an investment model with general utility functions," Journal of Economic Dynamics and Control, Elsevier, vol. 51(C), pages 28-49.
    6. Tianran Geng & Thaleia Zariphopoulou, 2017. "Temporal and Spatial Turnpike-Type Results Under Forward Time-Monotone Performance Criteria," Papers 1702.05649, arXiv.org.
    7. Scott Robertson & Hao Xing, 2014. "Long Term Optimal Investment in Matrix Valued Factor Models," Papers 1408.7010, arXiv.org.
    8. Paolo Guasoni & Scott Robertson, 2012. "Portfolios and risk premia for the long run," Papers 1203.1399, arXiv.org.
    9. Paolo Guasoni & Constantinos Kardaras & Scott Robertson & Hao Xing, 2014. "Abstract, classic, and explicit turnpikes," Finance and Stochastics, Springer, vol. 18(1), pages 75-114, January.
    10. Sergey Nadtochiy & Michael Tehranchi, 2013. "Optimal investment for all time horizons and Martin boundary of space-time diffusions," Papers 1308.2254, arXiv.org, revised Jan 2014.
    11. Vladimir Cherny & Jan Obloj, 2013. "Optimal portfolios of a long-term investor with floor or drawdown constraints," Papers 1305.6831, arXiv.org.
    12. Baojun Bian & Harry Zheng, 2014. "Turnpike Property and Convergence Rate for an Investment Model with General Utility Functions," Papers 1409.7802, arXiv.org.
    13. Vassili Kolokoltsov & Wei Yang, 2012. "Turnpike Theorems for Markov Games," Dynamic Games and Applications, Springer, vol. 2(3), pages 294-312, September.
    14. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.

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