How does the correlation between an agent’s income and financial market impact optimal portfolio allocation?

Esta tesis presenta tres estudios sobre las políticas óptimas de inversión/ahorro en contextos en los que la renta del agente o de la empresa, ya sea endógena o exógena, está correlacionada con otras fuentes de incertidumbre. Los trabajos incluidos abordan cuestiones fundamentales como: ¿Cómo se ven...

Full description

Autores:
Tipo de recurso:
Fecha de publicación:
2025
Institución:
Universidad del Rosario
Repositorio:
Repositorio EdocUR - U. Rosario
Idioma:
eng
OAI Identifier:
oai:repository.urosario.edu.co:10336/44990
Acceso en línea:
https://repository.urosario.edu.co/handle/10336/44990
Palabra clave:
Inversión óptima
Ingreso
Programación dinámica estocástica
Diferencias Finitas
Optimal Investment
Income
Stochastic dynamic programming
Rights
License
Attribution-NonCommercial-ShareAlike 4.0 International
id EDOCUR2_0758a7c33fff189880ede0f44524f7aa
oai_identifier_str oai:repository.urosario.edu.co:10336/44990
network_acronym_str EDOCUR2
network_name_str Repositorio EdocUR - U. Rosario
repository_id_str
dc.title.none.fl_str_mv How does the correlation between an agent’s income and financial market impact optimal portfolio allocation?
dc.title.TranslatedTitle.none.fl_str_mv ¿Cómo influye la correlación entre los ingresos de un agente y el mercado financiero en la asignación óptima de la cartera?
title How does the correlation between an agent’s income and financial market impact optimal portfolio allocation?
spellingShingle How does the correlation between an agent’s income and financial market impact optimal portfolio allocation?
Inversión óptima
Ingreso
Programación dinámica estocástica
Diferencias Finitas
Optimal Investment
Income
Stochastic dynamic programming
title_short How does the correlation between an agent’s income and financial market impact optimal portfolio allocation?
title_full How does the correlation between an agent’s income and financial market impact optimal portfolio allocation?
title_fullStr How does the correlation between an agent’s income and financial market impact optimal portfolio allocation?
title_full_unstemmed How does the correlation between an agent’s income and financial market impact optimal portfolio allocation?
title_sort How does the correlation between an agent’s income and financial market impact optimal portfolio allocation?
dc.contributor.advisor.none.fl_str_mv Serrano Perdomo, Rafael Antonio
dc.subject.none.fl_str_mv Inversión óptima
Ingreso
Programación dinámica estocástica
Diferencias Finitas
topic Inversión óptima
Ingreso
Programación dinámica estocástica
Diferencias Finitas
Optimal Investment
Income
Stochastic dynamic programming
dc.subject.keyword.none.fl_str_mv Optimal Investment
Income
Stochastic dynamic programming
description Esta tesis presenta tres estudios sobre las políticas óptimas de inversión/ahorro en contextos en los que la renta del agente o de la empresa, ya sea endógena o exógena, está correlacionada con otras fuentes de incertidumbre. Los trabajos incluidos abordan cuestiones fundamentales como: ¿Cómo se ven afectadas las políticas de inversión óptimas cuando el agente recibe una renta laboral estocástica y tiene una esperanza de vida estocástica? ¿Cuál es el impacto en la política óptima del agente con una renta laboral estocástica y una esperanza de vida estocástica cuando esta utilidad es constante con aversión al riesgo relativo? ¿Cómo puede la autofinanciación ayudar a maximizar el consumo del empresario mientras invierte capital en múltiples factores de producción y en presencia de shocks exógenos relacionados con shocks en el mercado financiero?
publishDate 2025
dc.date.accessioned.none.fl_str_mv 2025-02-18T17:19:36Z
dc.date.available.none.fl_str_mv 2025-02-18T17:19:36Z
dc.date.created.none.fl_str_mv 2025-01-08
dc.type.none.fl_str_mv doctoralThesis
dc.type.coar.fl_str_mv http://purl.org/coar/resource_type/c_db06
dc.type.spa.none.fl_str_mv Tesis de doctorado
dc.identifier.uri.none.fl_str_mv https://repository.urosario.edu.co/handle/10336/44990
url https://repository.urosario.edu.co/handle/10336/44990
dc.language.iso.none.fl_str_mv eng
language eng
dc.rights.*.fl_str_mv Attribution-NonCommercial-ShareAlike 4.0 International
dc.rights.coar.fl_str_mv http://purl.org/coar/access_right/c_abf2
dc.rights.acceso.none.fl_str_mv Abierto (Texto Completo)
dc.rights.uri.*.fl_str_mv http://creativecommons.org/licenses/by-nc-sa/4.0/
rights_invalid_str_mv Attribution-NonCommercial-ShareAlike 4.0 International
Abierto (Texto Completo)
http://creativecommons.org/licenses/by-nc-sa/4.0/
http://purl.org/coar/access_right/c_abf2
dc.format.extent.none.fl_str_mv 131 pp
dc.format.mimetype.none.fl_str_mv application/pdf
dc.publisher.spa.fl_str_mv Universidad del Rosario
dc.publisher.department.spa.fl_str_mv Facultad de Economía
dc.publisher.program.spa.fl_str_mv Doctorado en Economía
institution Universidad del Rosario
dc.source.bibliographicCitation.none.fl_str_mv Bouchard, Bruno; Pham, Huyên (2004) Wealth-path dependent utility maximization in incomplete markets. Vol. 8; No. 4; pp. 579–603 - 579–603;
Jeanblanc, Monique; Mastrolia, Thibaut; Possamaı̈, Dylan; Réveillac, Anthony (2015) Utility maximization with random horizon: a BSDE approach. Vol. 18; No. 07; pp. 1550045 - 1550045;
Karatzas, Ioannis; Wang, Hui (2000) Utility maximization with discretionary stopping. Vol. 39; No. 1; pp. 306–329 - 306–329;
Dufresne, Daniel (2001) The integral of geometric Brownian motion. Vol. 33; No. 1; pp. 223 - 241;
Hairer, Ernst; Wanner, Gerhard (1996) Solving Ordinary Differential Equations II. : Springer Berlin Heidelberg;
Jeulin, Th; Dold, A.; Eckmann, B. (1980) Semi-martingales et grossissement d'une filtration. : Springer-Verlag;
Wang, Neng (2004) Precautionary saving and partially observed income. Vol. 51; No. 8; pp. 1645–1681 - 1645–1681;
Huang, Huaxiong; Milevsky, Moshe A.; Wang, Jin (2008) Portfolio Choice and Life Insurance: The CRRA Case. Vol. 75; No. 4; pp. 847–872 - 847–872;
Merton, R. C. (1971) Optimum consumption and portfolio-rules in a continuous-time framework.
El Karoui, Nicole; Jeanblanc-Picqué, Monique (1998) Optimization of consumption with labor income. Vol. 2; No. 4; pp. 409–440 - 409–440;
Duarte, I.; Pinheiro, D.; Pinto, A. A.; Pliska, S. R. (2012) Optimal life insurance purchase, consumption and investment on a financial market with multi-dimensional diffusive terms. Vol. 63; No. 11; pp. 1737–1760 - 1737–1760;
Ye, Jinchun; Optimal Life Insurance, Consumption and Portfolio: A Dynamic Programming Approach.
Menoncin, Francesco; Regis, Luca (2020) Optimal life-cycle labour supply, consumption, and investment: The role of longevity-linked assets. Vol. 120; pp. 105935 - 105935;
Duffie, Darrell; Zariphopoulou, Thaleia (1993) Optimal investment with undiversifiable income risk. Vol. 3; No. 2; pp. 135–148 - 135–148;
Blanchet-Scalliet, Christophette; El Karoui, Nicole; Jeanblanc, Monique; Martellini, Lionel (2008) Optimal investment decisions when time-horizon is uncertain. Vol. 44; No. 11; pp. 1100–1113 - 1100–1113;
Shen, Yang; Wei, Jiaqin (2016) Optimal investment-consumption-insurance with random parameters. Vol. 2016; No. 1; pp. 37–62 - 37–62;
Gupta, Kanav (2020) Optimal investment and consumption strategy for a retiree under stochastic force of mortality. Disponible en: https://summit.sfu.ca/item/19960.
Peng, Xingchun; Li, Baihui (2023) Optimal investment, consumption and life insurance purchase with learning about return predictability. Vol. 113; pp. 70–95 - 70–95;
Rogers, L. C. G. (2013) Optimal Investment. : Springer Berlin Heidelberg;
Jaime, Hugo Eduardo Ramirez (2016) Optimal decisions in illiquid hedge funds. : The University of Manchester (United Kingdom);
Wei, Jiaqin; Cheng, Xiang; Jin, Zhuo; Wang, Hao (2020) Optimal consumption–investment and life-insurance purchase strategy for couples with correlated lifetimes. Vol. 91; pp. 244–256 - 244–256;
Cox, John C.; Huang, Chi-fu (1989) Optimal consumption and portfolio policies when asset prices follow a diffusion process. Vol. 49; No. 1; pp. 33–83 - 33–83;
Wang, Neng (2009) Optimal consumption and asset allocation with unknown income growth. Vol. 56; No. 4; pp. 524–534 - 524–534;
Richard, Scott F. (1975) Optimal consumption, portfolio and life insurance rules for an uncertain lived individual in a continuous time model. Vol. 2; No. 2; pp. 187–203 - 187–203;
Jacka, Saul D.; Mijatović, Aleksandar (2016) On the policy improvement algorithm in continuous time. Vol. 89; No. 1; pp. 348–359 - 348–359;
Yor, Marc (1992) On some exponential functionals of Brownian motion. Vol. 24; No. 3; pp. 509–531 - 509–531;
Dehm, Christian; Nguyen, Thai; Stadje, Mitja (2023) Non-concave Expected Utility Optimization with Uncertain Time Horizon. Vol. 88; No. 2;
Jeanblanc, Monique; Yor, Marc; Chesney, Marc (2009) Mathematical methods for financial markets. : Springer Science & Business Media;
Puterman, Martin (1994) Markov decision processes : discrete stochastic dynamic programming. : Wiley;
Deng, Yinglu; Brockett, Patrick L.; MacMinn, Richard D. (2012) Longevity/Mortality Risk Modeling and Securities Pricing. Vol. 79; No. 3; pp. 697–721 - 697–721;
Hambel, Christoph; Kraft, Holger; Schendel, Lorenz S.; Steffensen, Mogens (2017) Life Insurance Demand Under Health Shock Risk. Vol. 84; pp. 1171 - 1202;
Maurer, Raimond; Mitchell, Olivia S.; Rogalla, Ralph; Kartashov, Vasily (2013) Lifecycle Portfolio Choice With Systematic Longevity Risk and Variable Investment—Linked Deferred Annuities. Vol. 80; No. 3; pp. 649–676 - 649–676;
He, Hua; Pages, Henri F. (1993) Labor income, borrowing constraints, and equilibrium asset prices. Vol. 3; No. 4; pp. 663–696 - 663–696;
Bick, Björn; Kraft, Holger; Munk, Claus; Investment, Income, and Incompleteness.
Friedman, Milton (1957) Introduction to" A Theory of the Consumption Function". En: A theory of the consumption function. pp. 1–6 - 1–6; Princeton university press;
So, Mike K. P.; Chu, Amanda M. Y.; Chan, Thomas W. C. (2021) Impacts of the COVID-19 pandemic on financial market connectedness. Vol. 38; pp. 101864 - 101864;
Wang, Ning; Jin, Zhuo; Siu, Tak Kuen; Qiu, Ming (2021) Household consumption-investment-insurance decisions with uncertain income and market ambiguity. Vol. 2021; No. 10; pp. 832–865 - 832–865;
Duffie, Darrell; others (1997) Hedging in incomplete markets with HARA utility. Vol. 21; No. 4-5; pp. 753 - 782;
Bellman, Richard (1955) FUNCTIONAL EQUATIONS IN THE THEORY OF DYNAMIC PROGRAMMING. V. POSITIVITY AND QUASI-LINEARITY. Vol. 41; No. 10; pp. 743–746 - 743–746;
Aurand, Joshua; Huang, Yu-Jui (2019) Epstein-Zin Utility Maximization on Random Horizons.
Pak, Anton; Adegboye, Oyelola A.; Adekunle, Adeshina I.; Rahman, Kazi M.; McBryde, Emma S.; Eisen, Damon P. (2020) Economic Consequences of the COVID-19 Outbreak: the Need for Epidemic Preparedness. Vol. 8;
Howard, Ronald (1960) Dynamic programming and Markov processes. : M.I.T. Press;
Zeng, Xudong; Wang, Yuling; Carson, James M. (2015) Dynamic Portfolio Choice with Stochastic Wage and Life Insurance. Vol. 19; No. 4; pp. 256–272 - 256–272;
Blanchet-Scalliet, Christophette; El Karoui, Nicole; Martellini, Lionel (2005) Dynamic asset pricing theory with uncertain time-horizon. Vol. 29; No. 10; pp. 1737–1764 - 1737–1764;
Munk, Claus; Sørensen, Carsten (2010) Dynamic asset allocation with stochastic income and interest rates. Vol. 96; No. 3; pp. 433–462 - 433–462;
Pham, Huyên (2009) Continuous-time Stochastic Control and Optimization with Financial Applications. : Springer-Verlag Berlin Heidelberg;
Schendel, Lorenz S.; Consumption-Investment Problems with Stochastic Mortality Risk.
Koo, Hyeng Keun (1998) Consumption and portfolio selection with labor income: a continuous time approach. Vol. 8; No. 1; pp. 49–65 - 49–65;
Dellacherie, Claude (1972) Capacités et processus stochastiques. Vol. 67; Springer;
Zhang, Fanhong; Fei, Weiyin; Shen, Mingxuan; Jiang, Kui (2019) A study on optimal consumption and portfolio with labour income under inflation. Vol. 7; pp. 112 - 121;
Øksendal, Bernt; Sulem, Agnès (2019) Applied Stochastic Control of Jump Diffusions. : Springer International Publishing;
Guvenen, Fatih (2007) An empirical investigation of labor income processes.
Garces, Len Patrick Dominic; Kolar, Jovana; Sherris, Michael; Ungolo, Francesco (2022) Affine Mortality Models with Jumps: Parameter Estimation and Forecasting.
Pliska, Stanley R.; Ye, Jinchun (2007) Optimal life insurance purchase and consumption/investment under uncertain lifetime. Vol. 31; No. 5; pp. 1307–1319 - 1307–1319;
Jordà, Òscar; Liu, Celeste; Nechio, Fernanda; Rivera-Reyes, Fabián; others (2022) Wage growth when inflation is high. Vol. 25; pp. 1–6 - 1–6;
Marcello, Estev\ão (2022) Three ways a strong dollar impacts emerging markets. Disponible en: https://blogs.worldbank.org/voices/three-ways-strong-dollar-impacts-emerging-markets.
Fisher, Irving (1930) The theory of interest. Vol. 43; pp. 1–19 - 1–19;
Kara, Amit; Nelson, Edward (2003) The Exchange Rate and Inflation in the UK. Vol. 50; No. 5; pp. 585–608 - 585–608;
Fosu, Augustin Kwasi; Huq, Shamsul (1988) Price inflation and wage inflation. Vol. 27; pp. 35 - 40;
Bauerle, N.; Rieder, U. (2004) Portfolio Optimization With Markov-Modulated Stock Prices and Interest Rates. Vol. 49; No. 3; pp. 442–447 - 442–447;
Munk, Claus; Rubtsov, Alexey (2013) Portfolio management with stochastic interest rates and inflation ambiguity. Vol. 10; No. 3; pp. 419–455 - 419–455;
Rappoport, Veronica (2009) Persistence of dollarization after price stabilization. Vol. 56; No. 7; pp. 979–989 - 979–989;
Guan, Guohui; Liang, Zongxia (2014) Optimal reinsurance and investment strategies for insurer under interest rate and inflation risks. Vol. 55; pp. 105–115 - 105–115;
Kwak, Minsuk; Lim, Byung Hwa (2014) Optimal portfolio selection with life insurance under inflation risk. Vol. 46; pp. 59–71 - 59–71;
Zhang, Aihua; Korn, Ralf; Ewald, Christian-Oliver (2007) Optimal management and inflation protection for defined contribution pension plans. Vol. 28; No. 2; pp. 239–258 - 239–258;
Chen, F. E. I.; Weiyin, F. E. I. (2015) Optimal control of markovian switching systems with applications to portfolio decisions under inflation. Vol. 35; No. 2; pp. 439–458 - 439–458;
Fei, Weiyin (2012) Optimal consumption and portfolio under inflation and Markovian switching. Vol. 85; No. 2; pp. 272–285 - 272–285;
Bensoussan, Alain; Keppo, Jussi; Sethi, Suresh P. (2009) OPTIMAL CONSUMPTION AND PORTFOLIO DECISIONS WITH PARTIALLY OBSERVED REAL PRICES. Vol. 19; No. 2; pp. 215–236 - 215–236;
Zhang, Yu-Song; Fei, Chen; Pan, Hai-Feng; Huang, Jian (2022) Optimal Consumption, Leisure and Job Choice under Inflationary Environment.
Ma, Qing-Ping (2011) On “optimal pension management in a stochastic framework” with exponential utility. Vol. 49; No. 1; pp. 61–69 - 61–69;
of England, Bank (2024) Monetary Policy Report.
of Canada, Bank (2024) Monetary Policy Report.
Siu, Tak Kuen (2011) Long-term strategic asset allocation with inflation risk and regime switching. Vol. 11; No. 10; pp. 1565–1580 - 1565–1580;
Bellalah, Mondher; Hakim, Akeb; Si, Kehan; Zhang, Detao (2020) Long term optimal investment with regime switching: inflation, information and short sales. Vol. 313; No. 2; pp. 1373–1386 - 1373–1386;
Polı́tica Monetaria, Subgerencia; de Modelos, Sección de Desarrollo; others (2023) Informe de Polı́tica Monetaria-Enero 2023.
de la Reública de Colombia, Banco (2024) Informe de política monetaria.
Basak, Suleyman; Yan, Hongjun (2010) Equilibrium Asset Prices and Investor Behaviour in the Presence of Money Illusion. Vol. 77; No. 3; pp. 914–936 - 914–936;
Munk, Claus; Sørensen, Carsten; Nygaard Vinther, Tina (2004) Dynamic asset allocation under mean-reverting returns, stochastic interest rates, and inflation uncertainty. Vol. 13; No. 2; pp. 141–166 - 141–166;
Brennan, Michael J.; Xia, Yihong (2002) Dynamic Asset Allocation under Inflation. Vol. 57; No. 3; pp. 1201–1238 - 1201–1238;
Hess, Gregory D.; Schweitzer, Mark (2000) Does wage inflation cause price inflation?. No. 1;
Zhang, Fanhong; Fei, Weiyin; Shen, Mingxuan; Jiang, Kui (2019) A study on optimal consumption and portfolio with labour income under inflation. No. 3; pp. 112–121 - 112–121;
Vasicek, Oldrich (1977) An equilibrium characterization of the term structure. Vol. 5; No. 2; pp. 177–188 - 177–188;
Cochrane, John H. (1991) Volatility Tests and Efficient Markets: A Review Essay. No. 3591; Disponible en: https://www.nber.org/papers/w3591.
Junca, Mauricio; Serrano, Rafael (2021) Utility maximization in a multidimensional semimartingale model with nonlinear wealth dynamics. Vol. 15; No. 4; pp. 775–809 - 775–809;
Hayashi, Fumio (1982) Tobin's marginal q and average q: A neoclassical interpretation. pp. 213–224 - 213–224;
Posch, Olaf (2009) Structural estimation of jump-diffusion processes in macroeconomics. Vol. 153; No. 2; pp. 196–210 - 196–210;
Roche, Herve (2003) Stochastic growth: a duality approach. Vol. 113; No. 1; pp. 131–143 - 131–143;
Basu, Susanto; Fernald, John G. (1997) Returns to Scale in U.S. Production: Estimates and Implications. Vol. 105; No. 2; pp. 249–283 - 249–283;
Barro, Robert J. (2006) Rare Disasters and Asset Markets in the Twentieth Century. Vol. 121; No. 3; pp. 823–866 - 823–866;
Barro, Robert J. (2009) Rare disasters, asset prices, and welfare costs. Vol. 99; No. 1; pp. 243–264 - 243–264;
Moll, Benjamin (2014) Productivity losses from financial frictions: Can self-financing undo capital misallocation?. Vol. 104; No. 10; pp. 3186–3221 - 3186–3221;
Wälde, Klaus (2011) Production technologies in stochastic continuous time models. Vol. 35; No. 4; pp. 616–622 - 616–622;
Cochrane, John H. (2011) Presidential Address: Discount Rates. Vol. 66; No. 4; pp. 1047–1108 - 1047–1108;
Bliss, Robert R.; Panigirtzoglou, Nikolaos (2004) Option-Implied Risk Aversion Estimates. Vol. 59; No. 1; pp. 407–446 - 407–446;
Itskhoki, Oleg; Moll, Benjamin (2019) Optimal development policies with financial frictions. Vol. 87; No. 1; pp. 139–173 - 139–173;
Posch, Olaf; Trimborn, Timo (2013) Numerical solution of dynamic equilibrium models under Poisson uncertainty. Vol. 37; No. 12; pp. 2602–2622 - 2602–2622;
Furlanetto, Francesco; Seneca, Martin (2014) New perspectives on depreciation shocks as a source of business cycle fluctuations. Vol. 18; No. 6; pp. 1209–1233 - 1209–1233;
Justiniano, Alejandro; Primiceri, Giorgio E.; Tambalotti, Andrea (2011) Investment shocks and the relative price of investment. Vol. 14; No. 1; pp. 102–121 - 102–121;
Barseghyan, Levon; Molinari, Francesca; Teitelbaum, Joshua C. (2016) Inference under stability of risk preferences. Vol. 7; No. 2; pp. 367–409 - 367–409;
Ogden, Ryan; How did the COVID-19 pandemic affect input costs for U.S. producers? A review based on BLS input cost indexes : Beyond the Numbers: U.S. Bureau of Labor Statistics.
Gertner, Robert (1993) Game Shows and Economic Behavior: Risk-Taking on "Card Sharks". Vol. 108; No. 2; pp. 507–521 - 507–521;
Tankov, Peter (2003) Financial Modelling with Jump Processes. : Chapman and Hall/CRC;
Cochrane, John (2005) Financial Markets and the Real Economy. No. 11193;
Colombage, Sisira R. N. (2009) Financial markets and economic performances: Empirical evidence from five industrialized economies. Vol. 23; No. 3; pp. 339–348 - 339–348;
Benhabib, Jess; Liu, Xuewen; Wang, Pengfei (2019) Financial Markets, the Real Economy, and Self-Fulfilling Uncertainties. Vol. 74; No. 3;
Gertler, Mark; Kiyotaki, Nobuhiro (2010) Financial intermediation and credit policy in business cycle analysis. En: Handbook of monetary economics. Vol. 3; pp. 547–599 - 547–599; Elsevier;
Jullien, Bruno; Salanié, Bernard (2000) Estimating Preferences under Risk: The Case of Racetrack Bettors. Vol. 108; No. 3; pp. 503–530 - 503–530;
Wälde, Klaus (2005) Endogenous Growth Cycles*. Vol. 46; No. 3; pp. 867–894 - 867–894;
Tsionas, Mike; Patel, Pankaj C.; Guedes, Maria João (2022) Endogenous efficiency of the dynamic profit maximization in the intertemporal production models of venture behavior. Vol. 246; pp. 108411 - 108411;
Tsionas, Mike G.; Malikov, Emir; Kumbhakar, Subal C. (2020) Endogenous dynamic efficiency in the intertemporal optimization models of firm behavior. Vol. 284; No. 1; pp. 313–324 - 313–324;
Tsai, Jerry; Wachter, Jessica A. (2015) Disaster risk and its implications for asset pricing. Vol. 7; pp. 219–252 - 219–252;
Gourio, Francois (2012) Disaster risk and business cycles. Vol. 102; No. 6; pp. 2734–2766 - 2734–2766;
Goldstein, Itay; SJKoijen, Ralph; MMueller, Holger (2021) COVID-19 and Its Impact on Financial Markets and the Real Economy. Vol. 34; No. 11;
Longstaff, Francis A.; Piazzesi, Monika (2004) Corporate earnings and the equity premium. Vol. 74; No. 3; pp. 401–421 - 401–421;
Fleming, Wendell H.; Soner, Halil Mete (2006) Controlled Markov processes and viscosity solutions. Vol. 25; Springer Science & Business Media;
Pham, Huyên (2009) Continuous-time stochastic control and optimization with financial applications. Vol. 61; Springer Science & Business Media;
Campbell, John Y.; Cochrane, John H. (1999) By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior. Vol. 107; No. 2; pp. 205–251 - 205–251;
Nelder, J. A.; Mead, R. (1965) A Simplex Method for Function Minimization. Vol. 7; No. 4; pp. 308–313 - 308–313;
Wang, Neng (2007) An equilibrium model of wealth distribution. Vol. 54; No. 7; pp. 1882–1904 - 1882–1904;
Brunnermeier, Markus K.; Sannikov, Yuliy (2014) A macroeconomic model with a financial sector. Vol. 104; No. 2; pp. 379–421 - 379–421;
Handel, Benjamin R. (2013) Adverse Selection and Inertia in Health Insurance Markets: When Nudging Hurts. Vol. 103; No. 7; pp. 2643–2682 - 2643–2682;
Wang, Chong; Wang, Neng; Yang, Jinqiang (2016) Optimal consumption and savings with stochastic income and recursive utility. Vol. 165; pp. 292–331 - 292–331;
Munk, Claus (2000) Optimal consumption/investment policies with undiversifiable income risk and liquidity constraints. Vol. 24; No. 9; pp. 1315–1343 - 1315–1343;
Merton, Robert C. (1969) Lifetime portfolio selection under uncertainty: The continuous-time case. pp. 247–257 - 247–257;
Henderson, Vicky (2005) Explicit solutions to an optimal portfolio choice problem with stochastic income. Vol. 29; No. 7; pp. 1237–1266 - 1237–1266;
Wang, Chong; Wang, Neng; Yang, Jinqiang (2012) A unified model of entrepreneurship dynamics. Vol. 106; No. 1; pp. 1–23 - 1–23;
dc.source.instname.none.fl_str_mv instname:Universidad del Rosario
dc.source.reponame.none.fl_str_mv reponame:Repositorio Institucional EdocUR
bitstream.url.fl_str_mv https://repository.urosario.edu.co/bitstreams/b7dea11f-ca8c-4675-b569-38ef1ba7f9e4/download
https://repository.urosario.edu.co/bitstreams/8437fdc9-5296-4649-b26e-33b98bf522f3/download
https://repository.urosario.edu.co/bitstreams/477ea9d7-dedc-42b7-800b-9549b0c433a3/download
https://repository.urosario.edu.co/bitstreams/cd61cbe1-83e9-479d-ac53-16293f864830/download
https://repository.urosario.edu.co/bitstreams/30f2322c-3f3f-4e46-ba01-7bc6f0574bd9/download
https://repository.urosario.edu.co/bitstreams/4160551a-1b78-4828-8378-dc1b6819242b/download
bitstream.checksum.fl_str_mv 14b23a632905ef10251af1df59d0c5f8
2a0951b2fb26d39869e804dcb8fc0612
b2825df9f458e9d5d96ee8b7cd74fde6
5643bfd9bcf29d560eeec56d584edaa9
4098738b00ed44485750d38c4bd95c21
422ffa53b282173e665ce31557c56b31
bitstream.checksumAlgorithm.fl_str_mv MD5
MD5
MD5
MD5
MD5
MD5
repository.name.fl_str_mv Repositorio institucional EdocUR
repository.mail.fl_str_mv edocur@urosario.edu.co
_version_ 1828160790440443904
spelling Serrano Perdomo, Rafael Antonio80085368600Castillo Tarazona, Camilo AndreDoctor en EconomíaDoctorado3267e254-3446-445a-bc63-f32c5d1bf53c-12025-02-18T17:19:36Z2025-02-18T17:19:36Z2025-01-08Esta tesis presenta tres estudios sobre las políticas óptimas de inversión/ahorro en contextos en los que la renta del agente o de la empresa, ya sea endógena o exógena, está correlacionada con otras fuentes de incertidumbre. Los trabajos incluidos abordan cuestiones fundamentales como: ¿Cómo se ven afectadas las políticas de inversión óptimas cuando el agente recibe una renta laboral estocástica y tiene una esperanza de vida estocástica? ¿Cuál es el impacto en la política óptima del agente con una renta laboral estocástica y una esperanza de vida estocástica cuando esta utilidad es constante con aversión al riesgo relativo? ¿Cómo puede la autofinanciación ayudar a maximizar el consumo del empresario mientras invierte capital en múltiples factores de producción y en presencia de shocks exógenos relacionados con shocks en el mercado financiero?This dissertation presents three studies on the optimal investment/saving policies incontexts where the agent’s or firm’s income, whether endogenous or exogenous, iscorrelated with other sources of uncertainty. The included works address fundamentalquestions such as: How are optimal investment policies affected when the agentreceives a stochastic labor income and has a stochastic life span? What is theimpact on the agent’s optimal policy with stochastic labor income and stochasticlife span when this utility is constant relative risk aversion? How can self-financinghelp maximize the entrepreneur’s consumption while investing capital in multipleproduction factors and in the presence of exogenous shocks that are related to shocksin the financial market?131 ppapplication/pdfhttps://repository.urosario.edu.co/handle/10336/44990engUniversidad del RosarioFacultad de EconomíaDoctorado en EconomíaAttribution-NonCommercial-ShareAlike 4.0 InternationalAbierto (Texto Completo)EL AUTOR, manifiesta que la obra objeto de la presente autorización es original y la realizó sin violar o usurpar derechos de autor de terceros, por lo tanto la obra es de exclusiva autoría y tiene la titularidad sobre la misma. PARGRAFO: En caso de presentarse cualquier reclamación o acción por parte de un tercero en cuanto a los derechos de autor sobre la obra en cuestión, EL AUTOR, asumirá toda la responsabilidad, y saldrá en defensa de los derechos aquí autorizados; para todos los efectos la universidad actúa como un tercero de buena fe. EL AUTOR, autoriza a LA UNIVERSIDAD DEL ROSARIO, para que en los términos establecidos en la Ley 23 de 1982, Ley 44 de 1993, Decisión andina 351 de 1993, Decreto 460 de 1995 y demás normas generales sobre la materia, utilice y use la obra objeto de la presente autorización. -------------------------------------- POLITICA DE TRATAMIENTO DE DATOS PERSONALES. Declaro que autorizo previa y de forma informada el tratamiento de mis datos personales por parte de LA UNIVERSIDAD DEL ROSARIO para fines académicos y en aplicación de convenios con terceros o servicios conexos con actividades propias de la academia, con estricto cumplimiento de los principios de ley. Para el correcto ejercicio de mi derecho de habeas data cuento con la cuenta de correo habeasdata@urosario.edu.co, donde previa identificación podré solicitar la consulta, corrección y supresión de mis datos.http://creativecommons.org/licenses/by-nc-sa/4.0/http://purl.org/coar/access_right/c_abf2Bouchard, Bruno; Pham, Huyên (2004) Wealth-path dependent utility maximization in incomplete markets. Vol. 8; No. 4; pp. 579–603 - 579–603;Jeanblanc, Monique; Mastrolia, Thibaut; Possamaı̈, Dylan; Réveillac, Anthony (2015) Utility maximization with random horizon: a BSDE approach. Vol. 18; No. 07; pp. 1550045 - 1550045;Karatzas, Ioannis; Wang, Hui (2000) Utility maximization with discretionary stopping. Vol. 39; No. 1; pp. 306–329 - 306–329;Dufresne, Daniel (2001) The integral of geometric Brownian motion. Vol. 33; No. 1; pp. 223 - 241;Hairer, Ernst; Wanner, Gerhard (1996) Solving Ordinary Differential Equations II. : Springer Berlin Heidelberg;Jeulin, Th; Dold, A.; Eckmann, B. (1980) Semi-martingales et grossissement d'une filtration. : Springer-Verlag;Wang, Neng (2004) Precautionary saving and partially observed income. Vol. 51; No. 8; pp. 1645–1681 - 1645–1681;Huang, Huaxiong; Milevsky, Moshe A.; Wang, Jin (2008) Portfolio Choice and Life Insurance: The CRRA Case. Vol. 75; No. 4; pp. 847–872 - 847–872;Merton, R. C. (1971) Optimum consumption and portfolio-rules in a continuous-time framework. El Karoui, Nicole; Jeanblanc-Picqué, Monique (1998) Optimization of consumption with labor income. Vol. 2; No. 4; pp. 409–440 - 409–440;Duarte, I.; Pinheiro, D.; Pinto, A. A.; Pliska, S. R. (2012) Optimal life insurance purchase, consumption and investment on a financial market with multi-dimensional diffusive terms. Vol. 63; No. 11; pp. 1737–1760 - 1737–1760;Ye, Jinchun; Optimal Life Insurance, Consumption and Portfolio: A Dynamic Programming Approach. Menoncin, Francesco; Regis, Luca (2020) Optimal life-cycle labour supply, consumption, and investment: The role of longevity-linked assets. Vol. 120; pp. 105935 - 105935;Duffie, Darrell; Zariphopoulou, Thaleia (1993) Optimal investment with undiversifiable income risk. Vol. 3; No. 2; pp. 135–148 - 135–148;Blanchet-Scalliet, Christophette; El Karoui, Nicole; Jeanblanc, Monique; Martellini, Lionel (2008) Optimal investment decisions when time-horizon is uncertain. Vol. 44; No. 11; pp. 1100–1113 - 1100–1113;Shen, Yang; Wei, Jiaqin (2016) Optimal investment-consumption-insurance with random parameters. Vol. 2016; No. 1; pp. 37–62 - 37–62;Gupta, Kanav (2020) Optimal investment and consumption strategy for a retiree under stochastic force of mortality. Disponible en: https://summit.sfu.ca/item/19960.Peng, Xingchun; Li, Baihui (2023) Optimal investment, consumption and life insurance purchase with learning about return predictability. Vol. 113; pp. 70–95 - 70–95;Rogers, L. C. G. (2013) Optimal Investment. : Springer Berlin Heidelberg;Jaime, Hugo Eduardo Ramirez (2016) Optimal decisions in illiquid hedge funds. : The University of Manchester (United Kingdom);Wei, Jiaqin; Cheng, Xiang; Jin, Zhuo; Wang, Hao (2020) Optimal consumption–investment and life-insurance purchase strategy for couples with correlated lifetimes. Vol. 91; pp. 244–256 - 244–256;Cox, John C.; Huang, Chi-fu (1989) Optimal consumption and portfolio policies when asset prices follow a diffusion process. Vol. 49; No. 1; pp. 33–83 - 33–83;Wang, Neng (2009) Optimal consumption and asset allocation with unknown income growth. Vol. 56; No. 4; pp. 524–534 - 524–534;Richard, Scott F. (1975) Optimal consumption, portfolio and life insurance rules for an uncertain lived individual in a continuous time model. Vol. 2; No. 2; pp. 187–203 - 187–203;Jacka, Saul D.; Mijatović, Aleksandar (2016) On the policy improvement algorithm in continuous time. Vol. 89; No. 1; pp. 348–359 - 348–359;Yor, Marc (1992) On some exponential functionals of Brownian motion. Vol. 24; No. 3; pp. 509–531 - 509–531;Dehm, Christian; Nguyen, Thai; Stadje, Mitja (2023) Non-concave Expected Utility Optimization with Uncertain Time Horizon. Vol. 88; No. 2;Jeanblanc, Monique; Yor, Marc; Chesney, Marc (2009) Mathematical methods for financial markets. : Springer Science & Business Media;Puterman, Martin (1994) Markov decision processes : discrete stochastic dynamic programming. : Wiley;Deng, Yinglu; Brockett, Patrick L.; MacMinn, Richard D. (2012) Longevity/Mortality Risk Modeling and Securities Pricing. Vol. 79; No. 3; pp. 697–721 - 697–721;Hambel, Christoph; Kraft, Holger; Schendel, Lorenz S.; Steffensen, Mogens (2017) Life Insurance Demand Under Health Shock Risk. Vol. 84; pp. 1171 - 1202;Maurer, Raimond; Mitchell, Olivia S.; Rogalla, Ralph; Kartashov, Vasily (2013) Lifecycle Portfolio Choice With Systematic Longevity Risk and Variable Investment—Linked Deferred Annuities. Vol. 80; No. 3; pp. 649–676 - 649–676;He, Hua; Pages, Henri F. (1993) Labor income, borrowing constraints, and equilibrium asset prices. Vol. 3; No. 4; pp. 663–696 - 663–696;Bick, Björn; Kraft, Holger; Munk, Claus; Investment, Income, and Incompleteness. Friedman, Milton (1957) Introduction to" A Theory of the Consumption Function". En: A theory of the consumption function. pp. 1–6 - 1–6; Princeton university press;So, Mike K. P.; Chu, Amanda M. Y.; Chan, Thomas W. C. (2021) Impacts of the COVID-19 pandemic on financial market connectedness. Vol. 38; pp. 101864 - 101864;Wang, Ning; Jin, Zhuo; Siu, Tak Kuen; Qiu, Ming (2021) Household consumption-investment-insurance decisions with uncertain income and market ambiguity. Vol. 2021; No. 10; pp. 832–865 - 832–865;Duffie, Darrell; others (1997) Hedging in incomplete markets with HARA utility. Vol. 21; No. 4-5; pp. 753 - 782;Bellman, Richard (1955) FUNCTIONAL EQUATIONS IN THE THEORY OF DYNAMIC PROGRAMMING. V. POSITIVITY AND QUASI-LINEARITY. Vol. 41; No. 10; pp. 743–746 - 743–746;Aurand, Joshua; Huang, Yu-Jui (2019) Epstein-Zin Utility Maximization on Random Horizons. Pak, Anton; Adegboye, Oyelola A.; Adekunle, Adeshina I.; Rahman, Kazi M.; McBryde, Emma S.; Eisen, Damon P. (2020) Economic Consequences of the COVID-19 Outbreak: the Need for Epidemic Preparedness. Vol. 8;Howard, Ronald (1960) Dynamic programming and Markov processes. : M.I.T. Press;Zeng, Xudong; Wang, Yuling; Carson, James M. (2015) Dynamic Portfolio Choice with Stochastic Wage and Life Insurance. Vol. 19; No. 4; pp. 256–272 - 256–272;Blanchet-Scalliet, Christophette; El Karoui, Nicole; Martellini, Lionel (2005) Dynamic asset pricing theory with uncertain time-horizon. Vol. 29; No. 10; pp. 1737–1764 - 1737–1764;Munk, Claus; Sørensen, Carsten (2010) Dynamic asset allocation with stochastic income and interest rates. Vol. 96; No. 3; pp. 433–462 - 433–462; Pham, Huyên (2009) Continuous-time Stochastic Control and Optimization with Financial Applications. : Springer-Verlag Berlin Heidelberg;Schendel, Lorenz S.; Consumption-Investment Problems with Stochastic Mortality Risk. Koo, Hyeng Keun (1998) Consumption and portfolio selection with labor income: a continuous time approach. Vol. 8; No. 1; pp. 49–65 - 49–65;Dellacherie, Claude (1972) Capacités et processus stochastiques. Vol. 67; Springer;Zhang, Fanhong; Fei, Weiyin; Shen, Mingxuan; Jiang, Kui (2019) A study on optimal consumption and portfolio with labour income under inflation. Vol. 7; pp. 112 - 121;Øksendal, Bernt; Sulem, Agnès (2019) Applied Stochastic Control of Jump Diffusions. : Springer International Publishing;Guvenen, Fatih (2007) An empirical investigation of labor income processes. Garces, Len Patrick Dominic; Kolar, Jovana; Sherris, Michael; Ungolo, Francesco (2022) Affine Mortality Models with Jumps: Parameter Estimation and Forecasting. Pliska, Stanley R.; Ye, Jinchun (2007) Optimal life insurance purchase and consumption/investment under uncertain lifetime. Vol. 31; No. 5; pp. 1307–1319 - 1307–1319;Jordà, Òscar; Liu, Celeste; Nechio, Fernanda; Rivera-Reyes, Fabián; others (2022) Wage growth when inflation is high. Vol. 25; pp. 1–6 - 1–6;Marcello, Estev\ão (2022) Three ways a strong dollar impacts emerging markets. Disponible en: https://blogs.worldbank.org/voices/three-ways-strong-dollar-impacts-emerging-markets.Fisher, Irving (1930) The theory of interest. Vol. 43; pp. 1–19 - 1–19;Kara, Amit; Nelson, Edward (2003) The Exchange Rate and Inflation in the UK. Vol. 50; No. 5; pp. 585–608 - 585–608;Fosu, Augustin Kwasi; Huq, Shamsul (1988) Price inflation and wage inflation. Vol. 27; pp. 35 - 40;Bauerle, N.; Rieder, U. (2004) Portfolio Optimization With Markov-Modulated Stock Prices and Interest Rates. Vol. 49; No. 3; pp. 442–447 - 442–447;Munk, Claus; Rubtsov, Alexey (2013) Portfolio management with stochastic interest rates and inflation ambiguity. Vol. 10; No. 3; pp. 419–455 - 419–455;Rappoport, Veronica (2009) Persistence of dollarization after price stabilization. Vol. 56; No. 7; pp. 979–989 - 979–989;Guan, Guohui; Liang, Zongxia (2014) Optimal reinsurance and investment strategies for insurer under interest rate and inflation risks. Vol. 55; pp. 105–115 - 105–115;Kwak, Minsuk; Lim, Byung Hwa (2014) Optimal portfolio selection with life insurance under inflation risk. Vol. 46; pp. 59–71 - 59–71;Zhang, Aihua; Korn, Ralf; Ewald, Christian-Oliver (2007) Optimal management and inflation protection for defined contribution pension plans. Vol. 28; No. 2; pp. 239–258 - 239–258;Chen, F. E. I.; Weiyin, F. E. I. (2015) Optimal control of markovian switching systems with applications to portfolio decisions under inflation. Vol. 35; No. 2; pp. 439–458 - 439–458;Fei, Weiyin (2012) Optimal consumption and portfolio under inflation and Markovian switching. Vol. 85; No. 2; pp. 272–285 - 272–285;Bensoussan, Alain; Keppo, Jussi; Sethi, Suresh P. (2009) OPTIMAL CONSUMPTION AND PORTFOLIO DECISIONS WITH PARTIALLY OBSERVED REAL PRICES. Vol. 19; No. 2; pp. 215–236 - 215–236;Zhang, Yu-Song; Fei, Chen; Pan, Hai-Feng; Huang, Jian (2022) Optimal Consumption, Leisure and Job Choice under Inflationary Environment. Ma, Qing-Ping (2011) On “optimal pension management in a stochastic framework” with exponential utility. Vol. 49; No. 1; pp. 61–69 - 61–69;of England, Bank (2024) Monetary Policy Report. of Canada, Bank (2024) Monetary Policy Report. Siu, Tak Kuen (2011) Long-term strategic asset allocation with inflation risk and regime switching. Vol. 11; No. 10; pp. 1565–1580 - 1565–1580;Bellalah, Mondher; Hakim, Akeb; Si, Kehan; Zhang, Detao (2020) Long term optimal investment with regime switching: inflation, information and short sales. Vol. 313; No. 2; pp. 1373–1386 - 1373–1386;Polı́tica Monetaria, Subgerencia; de Modelos, Sección de Desarrollo; others (2023) Informe de Polı́tica Monetaria-Enero 2023. de la Reública de Colombia, Banco (2024) Informe de política monetaria. Basak, Suleyman; Yan, Hongjun (2010) Equilibrium Asset Prices and Investor Behaviour in the Presence of Money Illusion. Vol. 77; No. 3; pp. 914–936 - 914–936;Munk, Claus; Sørensen, Carsten; Nygaard Vinther, Tina (2004) Dynamic asset allocation under mean-reverting returns, stochastic interest rates, and inflation uncertainty. Vol. 13; No. 2; pp. 141–166 - 141–166;Brennan, Michael J.; Xia, Yihong (2002) Dynamic Asset Allocation under Inflation. Vol. 57; No. 3; pp. 1201–1238 - 1201–1238;Hess, Gregory D.; Schweitzer, Mark (2000) Does wage inflation cause price inflation?. No. 1;Zhang, Fanhong; Fei, Weiyin; Shen, Mingxuan; Jiang, Kui (2019) A study on optimal consumption and portfolio with labour income under inflation. No. 3; pp. 112–121 - 112–121;Vasicek, Oldrich (1977) An equilibrium characterization of the term structure. Vol. 5; No. 2; pp. 177–188 - 177–188;Cochrane, John H. (1991) Volatility Tests and Efficient Markets: A Review Essay. No. 3591; Disponible en: https://www.nber.org/papers/w3591.Junca, Mauricio; Serrano, Rafael (2021) Utility maximization in a multidimensional semimartingale model with nonlinear wealth dynamics. Vol. 15; No. 4; pp. 775–809 - 775–809;Hayashi, Fumio (1982) Tobin's marginal q and average q: A neoclassical interpretation. pp. 213–224 - 213–224;Posch, Olaf (2009) Structural estimation of jump-diffusion processes in macroeconomics. Vol. 153; No. 2; pp. 196–210 - 196–210;Roche, Herve (2003) Stochastic growth: a duality approach. Vol. 113; No. 1; pp. 131–143 - 131–143;Basu, Susanto; Fernald, John G. (1997) Returns to Scale in U.S. Production: Estimates and Implications. Vol. 105; No. 2; pp. 249–283 - 249–283;Barro, Robert J. (2006) Rare Disasters and Asset Markets in the Twentieth Century. Vol. 121; No. 3; pp. 823–866 - 823–866;Barro, Robert J. (2009) Rare disasters, asset prices, and welfare costs. Vol. 99; No. 1; pp. 243–264 - 243–264;Moll, Benjamin (2014) Productivity losses from financial frictions: Can self-financing undo capital misallocation?. Vol. 104; No. 10; pp. 3186–3221 - 3186–3221;Wälde, Klaus (2011) Production technologies in stochastic continuous time models. Vol. 35; No. 4; pp. 616–622 - 616–622;Cochrane, John H. (2011) Presidential Address: Discount Rates. Vol. 66; No. 4; pp. 1047–1108 - 1047–1108;Bliss, Robert R.; Panigirtzoglou, Nikolaos (2004) Option-Implied Risk Aversion Estimates. Vol. 59; No. 1; pp. 407–446 - 407–446;Itskhoki, Oleg; Moll, Benjamin (2019) Optimal development policies with financial frictions. Vol. 87; No. 1; pp. 139–173 - 139–173;Posch, Olaf; Trimborn, Timo (2013) Numerical solution of dynamic equilibrium models under Poisson uncertainty. Vol. 37; No. 12; pp. 2602–2622 - 2602–2622;Furlanetto, Francesco; Seneca, Martin (2014) New perspectives on depreciation shocks as a source of business cycle fluctuations. Vol. 18; No. 6; pp. 1209–1233 - 1209–1233;Justiniano, Alejandro; Primiceri, Giorgio E.; Tambalotti, Andrea (2011) Investment shocks and the relative price of investment. Vol. 14; No. 1; pp. 102–121 - 102–121;Barseghyan, Levon; Molinari, Francesca; Teitelbaum, Joshua C. (2016) Inference under stability of risk preferences. Vol. 7; No. 2; pp. 367–409 - 367–409;Ogden, Ryan; How did the COVID-19 pandemic affect input costs for U.S. producers? A review based on BLS input cost indexes : Beyond the Numbers: U.S. Bureau of Labor Statistics. Gertner, Robert (1993) Game Shows and Economic Behavior: Risk-Taking on "Card Sharks". Vol. 108; No. 2; pp. 507–521 - 507–521;Tankov, Peter (2003) Financial Modelling with Jump Processes. : Chapman and Hall/CRC;Cochrane, John (2005) Financial Markets and the Real Economy. No. 11193;Colombage, Sisira R. N. (2009) Financial markets and economic performances: Empirical evidence from five industrialized economies. Vol. 23; No. 3; pp. 339–348 - 339–348;Benhabib, Jess; Liu, Xuewen; Wang, Pengfei (2019) Financial Markets, the Real Economy, and Self-Fulfilling Uncertainties. Vol. 74; No. 3;Gertler, Mark; Kiyotaki, Nobuhiro (2010) Financial intermediation and credit policy in business cycle analysis. En: Handbook of monetary economics. Vol. 3; pp. 547–599 - 547–599; Elsevier;Jullien, Bruno; Salanié, Bernard (2000) Estimating Preferences under Risk: The Case of Racetrack Bettors. Vol. 108; No. 3; pp. 503–530 - 503–530;Wälde, Klaus (2005) Endogenous Growth Cycles*. Vol. 46; No. 3; pp. 867–894 - 867–894;Tsionas, Mike; Patel, Pankaj C.; Guedes, Maria João (2022) Endogenous efficiency of the dynamic profit maximization in the intertemporal production models of venture behavior. Vol. 246; pp. 108411 - 108411;Tsionas, Mike G.; Malikov, Emir; Kumbhakar, Subal C. (2020) Endogenous dynamic efficiency in the intertemporal optimization models of firm behavior. Vol. 284; No. 1; pp. 313–324 - 313–324;Tsai, Jerry; Wachter, Jessica A. (2015) Disaster risk and its implications for asset pricing. Vol. 7; pp. 219–252 - 219–252;Gourio, Francois (2012) Disaster risk and business cycles. Vol. 102; No. 6; pp. 2734–2766 - 2734–2766;Goldstein, Itay; SJKoijen, Ralph; MMueller, Holger (2021) COVID-19 and Its Impact on Financial Markets and the Real Economy. Vol. 34; No. 11;Longstaff, Francis A.; Piazzesi, Monika (2004) Corporate earnings and the equity premium. Vol. 74; No. 3; pp. 401–421 - 401–421;Fleming, Wendell H.; Soner, Halil Mete (2006) Controlled Markov processes and viscosity solutions. Vol. 25; Springer Science & Business Media;Pham, Huyên (2009) Continuous-time stochastic control and optimization with financial applications. Vol. 61; Springer Science & Business Media;Campbell, John Y.; Cochrane, John H. (1999) By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior. Vol. 107; No. 2; pp. 205–251 - 205–251;Nelder, J. A.; Mead, R. (1965) A Simplex Method for Function Minimization. Vol. 7; No. 4; pp. 308–313 - 308–313;Wang, Neng (2007) An equilibrium model of wealth distribution. Vol. 54; No. 7; pp. 1882–1904 - 1882–1904;Brunnermeier, Markus K.; Sannikov, Yuliy (2014) A macroeconomic model with a financial sector. Vol. 104; No. 2; pp. 379–421 - 379–421;Handel, Benjamin R. (2013) Adverse Selection and Inertia in Health Insurance Markets: When Nudging Hurts. Vol. 103; No. 7; pp. 2643–2682 - 2643–2682;Wang, Chong; Wang, Neng; Yang, Jinqiang (2016) Optimal consumption and savings with stochastic income and recursive utility. Vol. 165; pp. 292–331 - 292–331;Munk, Claus (2000) Optimal consumption/investment policies with undiversifiable income risk and liquidity constraints. Vol. 24; No. 9; pp. 1315–1343 - 1315–1343;Merton, Robert C. (1969) Lifetime portfolio selection under uncertainty: The continuous-time case. pp. 247–257 - 247–257;Henderson, Vicky (2005) Explicit solutions to an optimal portfolio choice problem with stochastic income. Vol. 29; No. 7; pp. 1237–1266 - 1237–1266;Wang, Chong; Wang, Neng; Yang, Jinqiang (2012) A unified model of entrepreneurship dynamics. Vol. 106; No. 1; pp. 1–23 - 1–23;instname:Universidad del Rosarioreponame:Repositorio Institucional EdocURInversión óptimaIngresoProgramación dinámica estocásticaDiferencias FinitasOptimal InvestmentIncomeStochastic dynamic programmingHow does the correlation between an agent’s income and financial market impact optimal portfolio allocation?¿Cómo influye la correlación entre los ingresos de un agente y el mercado financiero en la asignación óptima de la cartera?doctoralThesisTesis de doctoradohttp://purl.org/coar/resource_type/c_db06Facultad de EconomíaBogotáORIGINALHow_does_the_correlation_between_an_agents_income_and_financial_market_impact_optimal_portfolio_allocation.pdfHow_does_the_correlation_between_an_agents_income_and_financial_market_impact_optimal_portfolio_allocation.pdfapplication/pdf3921655https://repository.urosario.edu.co/bitstreams/b7dea11f-ca8c-4675-b569-38ef1ba7f9e4/download14b23a632905ef10251af1df59d0c5f8MD52Bibliografia_How_does_the_correlation_between_an_agents.risBibliografia_How_does_the_correlation_between_an_agents.risapplication/x-research-info-systems42865https://repository.urosario.edu.co/bitstreams/8437fdc9-5296-4649-b26e-33b98bf522f3/download2a0951b2fb26d39869e804dcb8fc0612MD53LICENSElicense.txtlicense.txttext/plain1483https://repository.urosario.edu.co/bitstreams/477ea9d7-dedc-42b7-800b-9549b0c433a3/downloadb2825df9f458e9d5d96ee8b7cd74fde6MD54CC-LICENSElicense_rdflicense_rdfapplication/rdf+xml; charset=utf-81160https://repository.urosario.edu.co/bitstreams/cd61cbe1-83e9-479d-ac53-16293f864830/download5643bfd9bcf29d560eeec56d584edaa9MD55TEXTHow_does_the_correlation_between_an_agents_income_and_financial_market_impact_optimal_portfolio_allocation.pdf.txtHow_does_the_correlation_between_an_agents_income_and_financial_market_impact_optimal_portfolio_allocation.pdf.txtExtracted texttext/plain102506https://repository.urosario.edu.co/bitstreams/30f2322c-3f3f-4e46-ba01-7bc6f0574bd9/download4098738b00ed44485750d38c4bd95c21MD56THUMBNAILHow_does_the_correlation_between_an_agents_income_and_financial_market_impact_optimal_portfolio_allocation.pdf.jpgHow_does_the_correlation_between_an_agents_income_and_financial_market_impact_optimal_portfolio_allocation.pdf.jpgGenerated Thumbnailimage/jpeg2977https://repository.urosario.edu.co/bitstreams/4160551a-1b78-4828-8378-dc1b6819242b/download422ffa53b282173e665ce31557c56b31MD5710336/44990oai:repository.urosario.edu.co:10336/449902025-02-19 03:00:57.216http://creativecommons.org/licenses/by-nc-sa/4.0/Attribution-NonCommercial-ShareAlike 4.0 Internationalhttps://repository.urosario.edu.coRepositorio institucional EdocURedocur@urosario.edu.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

Publicaciones similares