We revisit the seminal Merton’s work on optimal portfolio-consumption problems in a more general framework where exact solutions are not available. We provide exact solutions in a few special cases which were not included in the original setting
International audienceWe study an optimal consumption and investment problem in a possibly incomplet...
We discuss optimal portfolio selection with respect to utility functions of type exp(-ax), a>0 (ex...
The utility maximization problem of ’ratchet investors’ who do not tolerate any decline in their con...
We revisit the seminal Merton’s work on optimal portfolio-consumption problems in a more general fra...
This paper solves, in closed form, the optimal portfolio choice problem for an investor with utility...
This paper applies Cox-Huang [2] martingale method to solve the optimal portfolio-selection and cons...
The paper treats the generalized Merton-type optimal consumption invest-ment problem for a financial...
We show that, for a utility function U: R → R having reasonable asymptotic elasticity, the optimal i...
The paper investigates the consumption-investment problem for an investor with Epstein-Zin utility i...
AbstractThis paper is a study of the diffusion portfolio model with asset price lognormality. It is ...
In a market with stochastic investment opportunities, we study an optimal consumption investment pro...
This thesis deals with the infinite-horizon optimal investment and consumption problem for a utility...
This paper studies a consumption-portfolio problem where money enters the agent's utility function. ...
In this paper, we study the effects of cointegration on optimal investment and consumption strategie...
This paper examines the optimal consumption and investment problem for a ‘large’ investor, whose por...
International audienceWe study an optimal consumption and investment problem in a possibly incomplet...
We discuss optimal portfolio selection with respect to utility functions of type exp(-ax), a>0 (ex...
The utility maximization problem of ’ratchet investors’ who do not tolerate any decline in their con...
We revisit the seminal Merton’s work on optimal portfolio-consumption problems in a more general fra...
This paper solves, in closed form, the optimal portfolio choice problem for an investor with utility...
This paper applies Cox-Huang [2] martingale method to solve the optimal portfolio-selection and cons...
The paper treats the generalized Merton-type optimal consumption invest-ment problem for a financial...
We show that, for a utility function U: R → R having reasonable asymptotic elasticity, the optimal i...
The paper investigates the consumption-investment problem for an investor with Epstein-Zin utility i...
AbstractThis paper is a study of the diffusion portfolio model with asset price lognormality. It is ...
In a market with stochastic investment opportunities, we study an optimal consumption investment pro...
This thesis deals with the infinite-horizon optimal investment and consumption problem for a utility...
This paper studies a consumption-portfolio problem where money enters the agent's utility function. ...
In this paper, we study the effects of cointegration on optimal investment and consumption strategie...
This paper examines the optimal consumption and investment problem for a ‘large’ investor, whose por...
International audienceWe study an optimal consumption and investment problem in a possibly incomplet...
We discuss optimal portfolio selection with respect to utility functions of type exp(-ax), a>0 (ex...
The utility maximization problem of ’ratchet investors’ who do not tolerate any decline in their con...
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