A note on Merton's ``Optimum consumption and portfolio rules in a continuous-time model
From MaRDI portal
Publication:1111453
DOI10.1016/0022-0531(88)90138-XzbMath0657.90028OpenAlexW1975581108MaRDI QIDQ1111453
Suresh P. Sethi, Michael I. Taksar
Publication date: 1988
Published in: Journal of Economic Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0022-0531(88)90138-x
optimal solutionsboundary behaviorconsumption and portfolio problem in continuous timeHamilton-Jacobi Bellman equations
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (14)
Consumption-investment problem with subsistence consumption, bankruptcy, and random market coefficients ⋮ Optimal consumption and portfolio policies when asset prices follow a diffusion process ⋮ ON THE SHAPE OF RISK AVERSION AND ASSET ALLOCATION ⋮ An elementary approach to the Merton problem ⋮ Inter‐temporal mutual‐fund management ⋮ Increasing risk aversion and life-cycle investing ⋮ A bound on the probability of ruin in Merton's model ⋮ The Markov consumption problem ⋮ RISK‐AVERSION BEHAVIOR IN CONSUMPTION/INVESTMENT PROBLEMS1 ⋮ Merton's portfolio problem including market frictions: a closed-form formula supporting the shadow price approach ⋮ Optimal consumption from investment and random endowment in incomplete semimartingale markets. ⋮ Explicit solution of a general consumption/portfolio problem with subsistence consumption and bankruptcy ⋮ A NOTE ON UTILITY INDIFFERENCE PRICING ⋮ Optimal saving under Poisson uncertainty
Cites Work
This page was built for publication: A note on Merton's ``Optimum consumption and portfolio rules in a continuous-time model
