A note on robustness in Merton's model of intertemporal consumption and portfolio choice

DOI10.1016/S0165-1889(00)00054-3zbMath0996.91039MaRDI QIDQ5958593

Fabio Trojani, Paolo Vanini

Publication date: 3 March 2002

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

zbMATH Keywords

log-utilityoptimal consumption-investment rulesprecautionary behaviourrisky

Mathematics Subject Classification ID

Related Items (10)

Optimal consumption and portfolio choice with ambiguous interest rates and volatility ⋮ A numerical method for hedging Bermudan options under model uncertainty ⋮ Asset prices with locally constrained-entropy recursive multiple-priors utility ⋮ Ambiguity in asset pricing and portfolio choice: a review of the literature ⋮ Robust consumption-investment problem on infinite horizon ⋮ Dynamic portfolio choice under ambiguity and regime switching mean returns ⋮ COHERENT ACCEPTABILITY MEASURES IN MULTIPERIOD MODELS ⋮ Stability of utility-maximization in incomplete markets ⋮ Robust consumption and portfolio policies when asset prices can jump ⋮ 60 years of portfolio optimization: practical challenges and current trends

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• Intertemporal Asset Pricing under Knightian Uncertainty
• Robust Permanent Income and Pricing
• Unnamed Item
• Unnamed Item

This page was built for publication: A note on robustness in Merton's model of intertemporal consumption and portfolio choice