New exact solutions to optimal consumption-investment problems with exponential utility
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.
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How to Cite this Article
Rossella Agliardi, New exact solutions to optimal consumption-investment problems with exponential utility, Math. Finance Lett., 2020 (2020), Article ID 1. https://doi.org/10.28919/mfl/4547
Copyright © 2020 Rossella Agliardi. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.