A note on Merton's ``Optimum consumption and portfolio rules in a continuous-time model''
type: Item
instance of: scholarly article
title: A note on Merton's ``Optimum consumption and portfolio rules in a continuous-time model''
zbMATH Open document ID: 0657.90028
DOI: 10.1016/0022-0531(88)90138-X
published in: Journal of Economic Theory
publication date: 1988-01-01T00:00:00Z
review text: In the paper ``Optimum consumption and portfolio rules in a continuous- time model'', by \textit{R. C. Merton} [ibid. 3, 373-413 (1971)], solutions obtained in cases when marginal utility at zero consumption is finite are not feasible. While they do satisfy the Hamilton-Jacobi Bellman equations, they do not represent appropriate value functions because the boundary behavior near zero wealth is not satisfactorily dealt with. In this note, we specify the boundary behavior and characterize optimal solutions.
Mathematics Subject Classification ID: 91B62
Mathematics Subject Classification ID: 91B28
zbMATH DE Number: 4074773
zbMATH Keywords: consumption and portfolio problem in continuous time
zbMATH Keywords: Hamilton-Jacobi Bellman equations
zbMATH Keywords: boundary behavior
zbMATH Keywords: optimal solutions
author: Suresh P. Sethi
author: Michael Taksar
MaRDI profile type: Publication
cites work: Q3760262
cites work: Optimum consumption and portfolio rules in a continuous-time model
full work available at URL: 0022-0531(88)90138-x
OpenAlex ID: W1975581108
description: scientific article; zbMATH DE number 4074773