Knowledge that Transforms

OST models of portfolio selection have M been one-period models. I examine the combined problem of optimal portfolio selection and consumption rules for an individual in a continuous-time model whzere his income is generated by returns on assets and these returns or instantaneous growth rates are stochastic. P. A. Samuelson has developed a similar model in discrete-time for more general probability distributions in a companion paper [8]. I derive the optimality equations for a multiasset problem when the rate of returns are generated by a Wiener Brownian-motion process. A particular case examined in detail is the two-asset model with constant relative riskaversion or iso-elastic marginal utility. An explicit solution is also found for the case of constant absolute risk-aversion. The general technique employed can be used to examine a wide class of intertemporal economic problems under uncertainty. In addition to the Samuelson paper [8], there is the multi-period analysis of Tobin [9]. Phelps [6] has a model used to determine the optimal consumption rule for a multi-period example where income is partly generated by an asset with an uncertain return. Mirrless [5] has developed a continuous-time optimal consumption model of the neoclassical type with technical progress a random variable.

Journal Article A Note on a Covariance Matrix with its Application to the Two-Parameter Hypothesis on Risky-Asset Choice Get access T. Ichiishi T. Ichiishi Keio University Search for other works by this author on: Oxford Academic Google Scholar The Review of Economic Studies, Volume 36, Issue 2, April 1969, Pages 254–256, https://doi.org/10.2307/2296842 Published: 01 April 1969 Article history Received: 29 February 1968 Revision received: 31 October 1968 Published: 01 April 1969

Journal Article Fixed Factor Coefficients and Harrod-Neutral Technical Progress Get access Ken-Ichi Inada Ken-Ichi Inada Tokyo Metropolitan University Search for other works by this author on: Oxford Academic Google Scholar The Review of Economic Studies, Volume 36, Issue 1, January 1969, Pages 89–97, https://doi.org/10.2307/2296345 Published: 01 January 1969 Article history Received: 05 December 1967 Revision received: 27 June 1968 Published: 01 January 1969

Journal Article Imperfect Competition with Unknown Demand Get access J. Hadar, J. Hadar Case Western Reserve Search for other works by this author on: Oxford Academic Google Scholar C. Hillinger C. Hillinger University, Cleveland Search for other works by this author on: Oxford Academic Google Scholar The Review of Economic Studies, Volume 36, Issue 4, October 1969, Pages 519–525, https://doi.org/10.2307/2296474 Published: 01 October 1969 Article history Received: 15 September 1967 Revision received: 15 April 1969 Published: 01 October 1969

Journal Article Note and Comments: On Putty-Clay: A Comment Get access R. Britto R. Britto University of California, Los Angeles Search for other works by this author on: Oxford Academic Google Scholar The Review of Economic Studies, Volume 36, Issue 3, July 1969, Pages 395–398, https://doi.org/10.2307/2296435 Published: 01 July 1969 Article history Received: 15 October 1968 Received: 15 January 1969 Published: 01 July 1969

Jerome L. Stein, Keizo Nagatani; Stabilization Policies in a Growing Economy1, The Review of Economic Studies, Volume 36, Issue 2, 1 April 1969, Pages 165–