Merton portfolio allocation under stochastic dividends

DOI10.1007/S11590-024-02125-WMaRDI QIDQ6968780zbMATH OpenFDO

Authors Lorenzo Reus

Publication date 24 June 2025

Published in Optimization Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S11590-024-02125-W

zbMATH Keywords

dividend yieldincomplete marketsmartingale methodMerton solutionportfolio selection

Mathematics Subject Classification ID

Mathematical economics (91Bxx) Actuarial science and mathematical finance (91Gxx) Stochastic systems and control (93Exx)

Cites work

• Convex duality in constrained portfolio optimization
• Martingale and Duality Methods for Utility Maximization in an Incomplete Market
• Near-optimal asset allocation in financial markets with trading constraints
• Portfolios for long-term investors
• The costs of suboptimal dynamic asset allocation: general results and applications to interest rate risk, stock volatility risk, and growth/value tilts

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