Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case

  title={Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case},
  author={R. C. Merton},
  journal={The Review of Economics and Statistics},
  • R. C. Merton
  • Published 1969
  • Mathematics
  • The Review of Economics and Statistics
OST models of portfolio selection have M been one-period models. I examine the combined problem of optimal portfolio selection and consumption rules for an individual in a continuous-time model whzere his income is generated by returns on assets and these returns or instantaneous "growth rates" are stochastic. P. A. Samuelson has developed a similar model in discrete-time for more general probability distributions in a companion paper [8]. I derive the optimality equations for a multiasset… Expand

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