MODELS WHICH INCORPORATE both uncertainty and the dynamic behavior of economic agents are difficult to analyze.2 Moreover, even when a solution is obtained, it can seldom be simply stated and rarely lends itself to straightforward interpretations. An example of an appealingly understood result is a turnpike theorem, which states that if the planning horizon is distant then the optimal policy can be approximated by a wealth-independent policy. Our paper develops an analogous result in a stochastic intertemporal model of portfolio selection. In fact, we obtain necessary and some sufficient conditions for a turnpike. The problem considered in this essay is that of an investor-a von NeumannMorgenstern expected utility maximizer-who invests for a finite horizon and consumes only his terminal wealth. At the beginning of the first period the investor allocates his wealth, w, among various assets, and at the end of the first
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