Optimum consumption and portfolio rules in a continuous-time model☆
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Cites background or methods from "Optimum consumption and portfolio r..."
...Merton (1971) is the pioneering paper in this regard....
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...This procedure will l)e demonstrated in the next section in the context of the model of Merton (1971)....
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...In Section 3, we specialize the general model of Section 2 to a model considered originally by Merton (1971)....
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...We now specialize our general model of uncertainty developed i Section 2 to the model considered by Merton (1971) and revisited recently )y Karatzas, Lehoczky, Sethi, and Shreve (1986)....
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...In the unconstrained case given in Merton (1971), the optimal policies for HARA utility functions are linear in wealth; when nonnegativity constraints are included, this is no longer true....
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References
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