Optimum consumption and portfolio rules in a continuous-time model

Journal of Economic Theory - Tập 3 Số 4 - Trang 373-413 - 1971
Robert C. Merton1
1Sloan School of Management Massachusetts Institute of Technology Cambridge, Massachusetts 02139, USA

Tóm tắt

Từ khóa


Tài liệu tham khảo

Cass, 1970, The structure of investor perferences and asset Returns, and Separability in Portfolio Allocation: A Contribution to the Pure Theory of Mutual Funds, J. Econ. Theory, 2, 122, 10.1016/0022-0531(70)90002-5

1964

Cox, 1968

Dreyfus, 1965

Fischer, 1969, Essays on assets and contingent commodities

N. H. Hakansson, Optimal investment and consumption strategies under risk for a class of utility functions, Econometrica to appear.

Itô, 1951, On stochastic differential equations, Mem. Amer. Math. Soc.

Itô, 1964

Kushner, 1967

Leland, 1968, Dynamic portfolio theory

McKean, 1969

Merton, 1969, Lifetime portfolio selection under uncertainty: the continuous-time case, Rev. Econ. Statist., LI, 247, 10.2307/1926560

Samuelson, 1969, Lifetime Portfolio Selection by Dynamic Stochastic Programming, Rev. Econ. Statist., LI, 239, 10.2307/1926559

Samuelson, 1970, The fundamental approximation theorem of portfolio analysis in terms of means, variances and higher moments, Rev. Econ. Stud., 10.2307/2296483

Stratonovich, 1968

Black, 1970, Individual Investment and Consumption Strategies Under Uncertainty, Associates in Finance Financial Note No. 6C