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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- A remark on smooth solutions to a stochastic control problem with a power terminal cost function and stochastic volatilities
- Optimal combining quota-share and excess of loss reinsurance to maximize the expected utility
- Pension funds as institutions for intertemporal risk transfer
- Strategic asset allocation in a continuous-time VAR model
- A tree approach to options pricing under regime-switching jump diffusion models
- Optimal consumption and investment strategies with partial and private information in a multi-asset setting
- McKean-Vlasov limit in portfolio optimization
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- Time-inconsistent recursive stochastic optimal control problems
- Futures trading with transaction costs
- Firm behaviour under the threat of liquidation
- Life-cycle asset allocation with annuity markets
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- Robust utility maximization under convex portfolio constraints
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- Constancy of equilibrium interest rates for power utility functions and stochastic constant returns to scale technologies
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- Does tax competition really promote growth?
- Optimal Investment for an Insurer to Minimize Its Probability of Ruin
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