Optimal portfolio and consumption decisions in a stochastic environment with precommitment
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References listed on IDEAS
- Merton, Robert C, 1973. "An Intertemporal Capital Asset Pricing Model," Econometrica, Econometric Society, vol. 41(5), pages 867-887, September.
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- Samuelson, Paul A, 1969. "Lifetime Portfolio Selection by Dynamic Stochastic Programming," The Review of Economics and Statistics, MIT Press, vol. 51(3), pages 239-246, August.
- 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.
- 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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- 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.
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- 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.
- repec:spr:compst:v:63:y:2006:i:1:p:151-168 is not listed on IDEAS
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