Consumption and portfolio turnpike theorems in a continuous-time finance model

✍ Scribed by Xing Jin

• Publisher: Elsevier Science
• Year: 1998
• Tongue: English
• Weight: 182 KB
• Volume: 22
• Category: Article
• ISSN: 0165-1889
• DOI: 10.1016/s0165-1889(97)00091-2

✦ Synopsis

This paper investigates consumption and portfolio turnpike theorems in a continuous-time model. When the inverse functions of the derivative of utility functions for consumption and investment belong to a special subclass of regularly varying functions, it is shown that optimum portfolio, ÿnal wealth and consumption processes for these utility functions can be approximated arbitrarily closely in a suitable sense by those for the corresponding power utility functions. As an immediate consequence, the consumption and investment turnpike theorem is established. Conversely, it is shown that the su cient condition is also necessary for the turnpike property. Our results generalize those of Cox and Huang