Portfolio turnpikes

Review of Financial Studies

Volumn 12, Issue 1, 1999, Pages 165-195

  Dybvig, Philip H ^a   Rogers, L C G ^b   Back, Kerry ^b  

^a WASHINGTON UNIVERSITY   (United States)

^b NONE

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0033477545     PISSN: 08939454     EISSN: None     Source Type: Journal    
DOI: 10.1093/rfs/12.1.165     Document Type: Article

References (14)

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3. Cox, J. C., and C. Huang, 1992, "A Continuous-Time Portfolio Turnpike Theorem," Journal of Economic Dynamics and Control, 16, 491-507.
4. Dieudonné, J., 1969, Foundations of Modern Analysis, Academic Press, New York.
5. Dorfman, R., P. A. Samuelson, and R. M. Solow, 1958, Linear Programming and Economic Analysis, McGraw-Hill, New York.
6. Hakansson, N. H., 1974, "Convergence to Isoelastic Utility and Policy in Multiperiod Portfolio Choice," Journal of Financial Economics, 1, 201-224.
7. Huang, C., and T. Zariphopoulou, "Turnpike Behavior of Long-Term Investments," forthcoming in Finance and Stochastics.
8. Huberman, G., and S. A. Ross, 1983, "Portfolio Turnpike Theorems, Risk Aversion, and Regularly Varying Functions," Econometrica, 51, 1345-1361.
9. Jin, X., 1998, "Consumption and Portfolio Turnpike Theorems in a Continuous-Time Finance Model," Journal of Economic Dynamics and Control, 22, 1001-1026.
10. Karatzas, I., 1989, "Optimization Problems in the Theory of Continuous Trading," SIAM Journal of Control and Optimization, 27, 1221-1259.
11. Leland, H., 1972, "On Turnpike Portfolios," in G. Szego and K. Shell (eds.), Mathematical Models in Investment and Finance, North-Holland, Amsterdam.
12. Mossin, J., 1968, "Optimal Multiperiod Portfolio Policies," Journal of Business, 3, 373-413.
13. Rogers, L. C. G., and D. Williams, 1987, Diffusions, Markov Processes and Martingales, Vol. 2: Itô Calculus, Wiley, New York.
14. Rogers, L. C. G., and D. Williams, 1994, Diffusions, Markov Processes and Martingales, Vol. 1: Foundations, Wiley, New York.