We revisit the seminal Merton’s work on optimal portfolio-consumption problems in a more general framework where exact solutions are not available. We provide exact solutions in a few special cases which were not included in the original setting.
Rossella Agliardi (2020). New exact solutions to optimal consumption-investment problems with exponential utility. MATHEMATICAL FINANCE LETTERS, 1, 1-8 [10.28919/mfl/4547].
New exact solutions to optimal consumption-investment problems with exponential utility
Rossella AgliardiPrimo
2020
Abstract
We revisit the seminal Merton’s work on optimal portfolio-consumption problems in a more general framework where exact solutions are not available. We provide exact solutions in a few special cases which were not included in the original setting.File in questo prodotto:
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