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Growth and optimal intertemporal allocation of risks

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  • Bismut, Jean-Michel

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  • Bismut, Jean-Michel, 1975. "Growth and optimal intertemporal allocation of risks," Journal of Economic Theory, Elsevier, vol. 10(2), pages 239-257, April.
    • Handle: RePEc:eee:jetheo:v:10:y:1975:i:2:p:239-257
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    Cited by:

    1. Ehrlich, Isaac & Hamlen, William Jr., 1995. "Optimal portfolio and consumption decisions in a stochastic environment with precommitment," Journal of Economic Dynamics and Control, Elsevier, vol. 19(3), pages 457-480, April.
    2. Weidong Tian & Zimu Zhu, 2020. "A Portfolio Choice Problem Under Risk Capacity Constraint," Papers 2005.13741, arXiv.org, revised Dec 2021.
    3. Albeverio, Sergio & Mastrogiacomo, Elisa, 2022. "Large deviation principle for spatial economic growth model on networks," Journal of Mathematical Economics, Elsevier, vol. 103(C).
    4. Liao, Zhong-Wei & Shao, Jinghai, 2024. "Stability and mean growth rate of stochastic Solow model driven by jump–diffusion process," Journal of Mathematical Economics, Elsevier, vol. 111(C).
    5. Rauscher, Michael, 1996. "Sustainable Development and Complex Ecosystems. An Economist's View," Thuenen-Series of Applied Economic Theory 02, University of Rostock, Institute of Economics.
    6. D. Glycopantis & A. Muir, 1991. "On the solution of a stochastic optimal growth model," Journal of Economics, Springer, vol. 54(2), pages 125-142, June.
    7. Tapiero, Charles, 2003. "Risk Management: An Interdisciplinary Framework," ESSEC Working Papers DR 03014, ESSEC Research Center, ESSEC Business School.
    8. Lundgren, Tommy, 2007. "On the Economics of Corporate Responsibility," Sustainable Investment and Corporate Governance Working Papers 2007/3, Sustainable Investment Research Platform.
    9. Christian Bayer & Klaus Waelde, 2011. "Existence, Uniqueness and Stability of Invariant Distributions in Continuous-Time Stochastic Models," Working Papers 1111, Gutenberg School of Management and Economics, Johannes Gutenberg-Universität Mainz, revised 21 Jul 2011.
    10. Goll, Thomas & Kallsen, Jan, 2000. "Optimal portfolios for logarithmic utility," Stochastic Processes and their Applications, Elsevier, vol. 89(1), pages 31-48, September.
    11. Weidong Tian & Zimu Zhu, 2022. "A portfolio choice problem under risk capacity constraint," Annals of Finance, Springer, vol. 18(3), pages 285-326, September.
    12. Christiane Clemens, 2009. "Stochastic Growth and Factor Income Risk," German Economic Review, Verein für Socialpolitik, vol. 10(4), pages 422-447, November.
    13. Wälde, Klaus, 1999. "A Poisson-Ramsey growth model: Creative destruction, endogenous cycles and growth," Technical Reports 1999,32, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    14. Leitner, Johannes, 2000. "Utility Maximization and Duality," CoFE Discussion Papers 00/34, University of Konstanz, Center of Finance and Econometrics (CoFE).
    15. Siciliani, Luigi, 2006. "A dynamic model of supply of elective surgery in the presence of waiting times and waiting lists," Journal of Health Economics, Elsevier, vol. 25(5), pages 891-907, September.
    16. Nikolay A. Andreev, 2015. "Worst-Case Approach To Strategic Optimal Portfolio Selection Under Transaction Costs And Trading Limits," HSE Working papers WP BRP 45/FE/2015, National Research University Higher School of Economics.
    17. Bayer, Christian & Rendall, Alan D. & Wälde, Klaus, 2019. "The invariant distribution of wealth and employment status in a small open economy with precautionary savings," Journal of Mathematical Economics, Elsevier, vol. 85(C), pages 17-37.
    18. Bakshi, Gurdip S. & Chen, Zhiwu & Naka, Atsuyuki, 1995. "Production-based asset pricing in Japan," Pacific-Basin Finance Journal, Elsevier, vol. 3(2-3), pages 217-240, July.
    19. Ewald, Christian Oliver & Nolan, Charles, 2024. "On the adaptation of the Lagrange formalism to continuous time stochastic optimal control: A Lagrange-Chow redux," Journal of Economic Dynamics and Control, Elsevier, vol. 162(C).
    20. Leitner, Johannes, 2000. "Mean-Variance Efficiency and Intertemporal Price for Risk," CoFE Discussion Papers 00/35, University of Konstanz, Center of Finance and Econometrics (CoFE).
    21. Roche, Herve, 2003. "Stochastic growth: a duality approach," Journal of Economic Theory, Elsevier, vol. 113(1), pages 131-143, November.

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