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Optimal consumption and portfolio policies when asset prices follow a diffusion process


  • Cox, John C.
  • Huang, Chi-fu.


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  • Cox, John C. & Huang, Chi-fu., 1987. "Optimal consumption and portfolio policies when asset prices follow a diffusion process," Working papers 1926-87., Massachusetts Institute of Technology (MIT), Sloan School of Management.
  • Handle: RePEc:mit:sloanp:2181

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    References listed on IDEAS

    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.
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    Cited by:

    1. Walter Willinger & Murad S. Taqqu, 1991. "Toward A Convergence Theory For Continuous Stochastic Securities Market Models," Mathematical Finance, Wiley Blackwell, vol. 1(1), pages 55-59.
    2. 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.
    3. Philip H. Dybvig, Chi-fu Huang, 1988. "Nonnegative Wealth, Absence of Arbitrage, and Feasible Consumption Plans," Review of Financial Studies, Society for Financial Studies, vol. 1(4), pages 377-401.

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    HD28 .M414 no. 1926-; 87;

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