Merton's Portfolio Problem is a well known problem in continuous time finance. An investor with a finite lifetime must choose how much to consume and must allocate his wealth between stocks and a risk-free asset so as to maximize expected lifetime utility. The problem was formulated and solved by Robert C. Merton in 1969; research has continued to extend and generalize the model.
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- Merton's Portfolio Problem is a well known problem in continuous time finance. An investor with a finite lifetime must choose how much to consume and must allocate his wealth between stocks and a risk-free asset so as to maximize expected lifetime utility. The problem was formulated and solved by Robert C. Merton in 1969; research has continued to extend and generalize the model.
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- Merton's Portfolio Problem is a well known problem in continuous time finance. An investor with a finite lifetime must choose how much to consume and must allocate his wealth between stocks and a risk-free asset so as to maximize expected lifetime utility. The problem was formulated and solved by Robert C. Merton in 1969; research has continued to extend and generalize the model.
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- Merton's portfolio problem
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