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Optimal portfolio and consumption decisions in a stochastic environment with precommitment

  • Ehrlich, Isaac
  • Hamlen, William Jr.

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File URL: http://www.sciencedirect.com/science/article/B6V85-3YB56M4-1B/2/9fe65e2e21fb0f47c5512bedaa466c74
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Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

Volume (Year): 19 (1995)
Issue (Month): 3 (April)
Pages: 457-480

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Handle: RePEc:eee:dyncon:v:19:y:1995:i:3:p:457-480
Contact details of provider: Web page: http://www.elsevier.com/locate/jedc

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  1. Merton, Robert C., 1971. "Optimum consumption and portfolio rules in a continuous-time model," Journal of Economic Theory, Elsevier, vol. 3(4), pages 373-413, December.
  2. Samuelson, Paul A, 1969. "Lifetime Portfolio Selection by Dynamic Stochastic Programming," The Review of Economics and Statistics, MIT Press, vol. 51(3), pages 239-46, August.
  3. Merton, Robert C, 1973. "An Intertemporal Capital Asset Pricing Model," Econometrica, Econometric Society, vol. 41(5), pages 867-87, September.
  4. Milton Friedman, 1957. "A Theory of the Consumption Function," NBER Books, National Bureau of Economic Research, Inc, number frie57-1, October.
  5. Merton, Robert C., 1972. "An Analytic Derivation of the Efficient Portfolio Frontier," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 7(04), pages 1851-1872, September.
  6. Bismut, Jean-Michel, 1975. "Growth and optimal intertemporal allocation of risks," Journal of Economic Theory, Elsevier, vol. 10(2), pages 239-257, April.
  7. Arrow, Kenneth J. & Kurz, Mordecai, 1969. "Optimal consumer allocation over an infinite horizon," Journal of Economic Theory, Elsevier, vol. 1(1), pages 68-91, June.
  8. Milton Friedman, 1957. "Introduction to "A Theory of the Consumption Function"," NBER Chapters, in: A Theory of the Consumption Function, pages 1-6 National Bureau of Economic Research, Inc.
  9. Merton, Robert C, 1969. "Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case," The Review of Economics and Statistics, MIT Press, vol. 51(3), pages 247-57, August.
  10. Lintner, John, 1970. "The Market Price of Risk, Size of Market and Investor's Risk Aversion," The Review of Economics and Statistics, MIT Press, vol. 52(1), pages 87-99, February.
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