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ArticleOptimum consumption and portfolio rules in a continuous-time model

Robert C. Merton1971

Article1971

Optimum consumption and portfolio rules in a continuous-time model

Robert C. Merton

5,966 citations·0/0 files stored·Journal of Economic Theory

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Stochastic processes and financial applications Economic theories and models Risk and Portfolio Optimization

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1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case 1975LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING 1969Lifetime Portfolio Selection By Dynamic Stochastic Programming

Cited by

1985A Theory of the Term Structure of Interest Rates 1973An Intertemporal Capital Asset Pricing Model 1977An equilibrium characterization of the term structure 1976Option pricing when underlying stock returns are discontinuous 2004The Role of Social Capital in Financial Development 1993Dynamic Asset Pricing Theory.1981Martingales and stochastic integrals in the theory of continuous trading 1980On estimating the expected return on the market

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Details

Year1971

Typearticle

Published1971-12-01

VenueJournal of Economic Theory

ISSN-L0022-0531

Languageen

Citations5,966

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/0022-0531(71)90038-x

openalex_workW2005158847

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