A continuous-time portfolio turnpike theorem

DOI10.1016/0165-1889(92)90046-HzbMath0760.90006OpenAlexW2053220703MaRDI QIDQ1200315

John C. Cox, Chi-fu Huang

Publication date: 16 January 1993

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1889(92)90046-h

zbMATH Keywords

martingalesoptimal investment strategycontinuous-time portfolio turnpike theorem

Mathematics Subject Classification ID

Economic growth models (91B62)

Related Items

Long-Term Optimal Investment in Matrix Valued Factor Models ⋮ Turnpike property and convergence rate for an investment model with general utility functions ⋮ STATIC FUND SEPARATION OF LONG-TERM INVESTMENTS ⋮ Turnpike theorems for Markov games ⋮ Consumption and portfolio turnpike theorems in a continuous-time finance model ⋮ Turnpike property and convergence rate for an investment and consumption model ⋮ Portfolios and risk premia for the long run ⋮ ROBUST PORTFOLIOS AND WEAK INCENTIVES IN LONG-RUN INVESTMENTS ⋮ Abstract, classic, and explicit turnpikes

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