• Corpus ID: 50189282

Lifetime Portfolio Selection under Uncertainty: the Continuous-time Case

@inproceedings{Dreyfus2006LifetimePS,
  title={Lifetime Portfolio Selection under Uncertainty: the Continuous-time Case},
  author={Stuart E. Dreyfus},
  year={2006}
}
M OST models of portfolio selection have been one-period models. I examine the combined problem of optimal portfolio selection and consumption rules for an individual in a continuous-time model where 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 C81. I derive the optimality equations for a multiasset… 

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