Optimum consumption and portfolio rules in a continuous-time model

DOI10.1016/0022-0531(71)90038-XzbMATH Open1011.91502OpenAlexW2005158847WikidataQ56763520 ScholiaQ56763520MaRDI QIDQ140187FDOQ140187

Authors: Robert C. Merton, Robert C. Merton 

Publication date: December 1971

Published in: Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0022-0531(71)90038-x

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Mathematics Subject Classification ID

Portfolio theory (91G10) Utility theory (91B16)

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Cited In (only showing first 100 items - show all)

• OPTIMAL PORTFOLIO MANAGEMENT WITH FIXED TRANSACTION COSTS
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• Comparison of mean variance like strategies for optimal asset allocation problems
• SHARPE RATIO MAXIMIZATION AND EXPECTED UTILITY WHEN ASSET PRICES HAVE JUMPS
• MINIMIZING TRANSACTION COSTS OF OPTION HEDGING STRATEGIES
• Robust multivariate portfolio choice with stochastic covariance in the presence of ambiguity
• Performance of utility-based strategies for hedging basis risk
• Some Notes on the Dynamics and Optimal Control of Stochastic Pension Fund Models in Continuous Time
• A system of quadratic BSDEs arising in a price impact model
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• Consumption-investment strategies with non-exponential discounting and logarithmic utility
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• A jump model for fads in asset prices under asymmetric information
• Portfolio insurance: gap risk under conditional multiples
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• Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans
• An algorithm for optimal portfolio selection problem with transaction costs and random lifetimes
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• On the sub-optimality cost of immediate annuitization in DC pension funds
• Optimal consumption-investment with critical wealth level
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• Constant rebalanced portfolio optimization under nonlinear transaction costs
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• Transaction costs, trading volume, and the liquidity premium
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• Stability of utility-maximization in incomplete markets
• Health shock risk, critical illness insurance, and housing services
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• A computationally efficient state-space partitioning approach to pricing high-dimensional American options via dimension reduction
• Leverage management
• Mean-variance portfolio and contribution selection in stochastic pension funding
• Optimal investment decisions with a liability: the case of defined benefit pension plans
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• CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION

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