New exact solutions to optimal consumption-investment problems with exponential utility

Rossella Agliardi

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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Published: 2020-03-20

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

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.

Mathematical Finance Letters

ISSN 2051-2929

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