Optimal consumption and portfolio policies when asset prices follow a diffusion process
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References listed on IDEAS
- Merton, Robert C., 1971.
"Optimum consumption and portfolio rules in a continuous-time model,"
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Cited by:
- Walter Willinger & Murad S. Taqqu, 1991. "Toward A Convergence Theory For Continuous Stochastic Securities Market Models1," Mathematical Finance, Wiley Blackwell, vol. 1(1), pages 55-59, January.
- Marcet, Albert & Singleton, Kenneth J., 1999.
"Equilibrium Asset Prices And Savings Of Heterogeneous Agents In The Presence Of Incomplete Markets And Portfolio Constraints,"
Macroeconomic Dynamics, Cambridge University Press, vol. 3(2), pages 243-277, June.
- Albert Marcet & Kenneth J. Singleton, 1990. "Equilibrium asset prices and savings of heterogeneous agents in the presence of incomplete markets and portfolio constraints," Economics Working Papers 319, Department of Economics and Business, Universitat Pompeu Fabra, revised Jul 1998.
- Philip H. Dybvig, Chi-fu Huang, 1988.
"Nonnegative Wealth, Absence of Arbitrage, and Feasible Consumption Plans,"
The Review of Financial Studies, Society for Financial Studies, vol. 1(4), pages 377-401.
- Philip H. Dybvig & Chi-fu Huang, 1988. "Nonnegative Wealth, Absence of Arbitrage, and Feasible Consumption Plans," Cowles Foundation Discussion Papers 860, Cowles Foundation for Research in Economics, Yale University.
- Cox, John C. & Huang, Chi-fu., 1989. "A variational problem arising in financial economics," Working papers 2110-89., Massachusetts Institute of Technology (MIT), Sloan School of Management.
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