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Zbl 1011.91502
Merton, Robert C.
Optimum consumption and portfolio rules in a continuous-time model. (English)
[J] J. Econ. Theory 3, No.4, 373-413 (1971).

From the introduction: In an earlier paper [the author, Rev. Econ. Stat. 51, 247-257 (1969)], we examined the continuous-time consumption-portfolio problem for an individual whose income is generated by capital gains on investments in assets with prices assumed to satisfy the `geometric Brownian motion' hypothesis; i.e., we studied $\text{Max} E\int_0^TU(C,t) dt$. The present paper extends these results for more general utility functions, price behavior assumptions, and for income generated also from noncapital gains sources. It is shown that if the `geometric Brownian motion' hypothesis is accepted, then a general `separation' or `mutual fund' theorem can be proved such that, in this model, the classical Tobin mean-variance rules hold without the objectionable assumptions of quadratic utility or of normality of distributions for prices.".

MSC 2000:: *91B28 Finance etc.
91B16 Utility theory

Cited in: Zbl 1195.91147 Zbl 1180.91270 Zbl 1212.91103 Zbl 1255.91292 Zbl 1153.91018 Zbl 1147.91023 Zbl 1184.91017 Zbl 1098.91064 Zbl 1129.91324 Zbl 1102.91054 Zbl 1074.91548 Zbl 1025.91503

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