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Optimal portfolio and consumption decisions in a stochastic environment with precommitment

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Listed author(s):
  • Ehrlich, Isaac
  • Hamlen, William Jr.

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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, 1973. "An Intertemporal Capital Asset Pricing Model," Econometrica, Econometric Society, vol. 41(5), pages 867-887, September.
  2. 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.
  3. Paul A. Samuelson, 2011. "Lifetime Portfolio Selection by Dynamic Stochastic Programming," World Scientific Book Chapters,in: THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 31, pages 465-472 World Scientific Publishing Co. Pte. Ltd..
  4. 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.
  5. Milton Friedman, 1957. "A Theory of the Consumption Function," NBER Books, National Bureau of Economic Research, Inc, number frie57-1, June.
  6. 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 247-257, August.
  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. Bismut, Jean-Michel, 1975. "Growth and optimal intertemporal allocation of risks," Journal of Economic Theory, Elsevier, vol. 10(2), pages 239-257, April.
  9. 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.
  10. 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.
  11. Richard F. Baum, 1972. "Optimal Control Systems with Stochastic Boundary Conditions and State Equations," Operations Research, INFORMS, vol. 20(4), pages 875-887, August.
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Cited by:

  1. repec:spr:compst:v:63:y:2006:i:1:p:151-168 is not listed on IDEAS
  2. U. Çakmak & S. Özekici, 2006. "Portfolio optimization in stochastic markets," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 63(1), pages 151-168, February.

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