publication . Article . Part of book or chapter of book . Other literature type . 1969

Lifetime Portfolio Selection by Dynamic Stochastic Programming.

Paul A. Samuelson;
Open Access
  • Published: 01 Aug 1969 Journal: Review of Economics & Statistics, volume 51, issue 3 Aug., pages 239-46
Abstract
Publisher Summary This chapter reviews the optimal consumption-investment problem for an investor whose utility for consumption over time is a discounted sum of single-period utilities, with the latter being constant over time and exhibiting constant relative risk aversion (power-law functions or logarithmic functions). It presents a generalization of Phelps' model to include portfolio choice and consumption. The explicit form of the optimal solution is derived for the special case of utility functions having constant relative risk aversion. The optimal portfolio decision is independent of time, wealth, and the consumption decision at each stage. Most analyses o...
Subjects
free text keywords: Logarithm, Special case, Portfolio, Merton's portfolio problem, Risk aversion, Replicating portfolio, Stochastic programming, Economics, Mathematical economics, Portfolio optimization, Mathematical optimization, Investment decisions, Dynamic asset allocation, Computer science
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