Optimum consumption and portfolio rules in a continuous-time model
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Publication:140187
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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- PORTFOLIO OPTIMIZATION WITH DOWNSIDE CONSTRAINTS
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- Portfolio selection problem with value-at-risk constraints under non-extensive statistical mechanics
- Optimal portfolios with regime switching and value-at-risk constraint
- Markowitz's mean-variance asset-liability management with regime switching: a multi-period model
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- OPTIMALITY AND STATE PRICING IN CONSTRAINED FINANCIAL MARKETS WITH RECURSIVE UTILITY UNDER CONTINUOUS AND DISCONTINUOUS INFORMATION
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- OPTIMAL PORTFOLIOS WITH DEFAULTABLE SECURITIES A FIRM VALUE APPROACH
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- THE NUMÉRAIRE PROPERTY AND LONG-TERM GROWTH OPTIMALITY FOR DRAWDOWN-CONSTRAINED INVESTMENTS
- Optimal consumption and investment under time-varying relative risk aversion
- Options strategies with the risk adjustment
- Portfolio selection: a review
- An optimal job, consumption/leisure, and investment policy
- Personal finance and life insurance under separation of risk aversion and elasticity of substitution
- A dynamic programming approach to constrained portfolios
- Ambiguity in asset pricing and portfolio choice: a review of the literature
- Markowitz's mean-variance asset-liability management with regime switching: a time-consistent approach
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