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Mathematical Finance Letters ISSN 2051-2929

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Math. Finance Lett. 2020 (2020), Article ID 1

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

Rossella Agliardi

PDF (112.3 KB) https://doi.org/10.28919/mfl/4547

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.

Published
20 March 2020
Volume
2020 (2020)
License
CC BY 3.0

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.

Cite this article

R. Agliardi, New exact solutions to optimal consumption-investment problems with exponential utility, Math. Finance Lett. 2020 (2020), 1. https://doi.org/10.28919/mfl/4547

BibTeX
@article{Agliardi2020,
  author  = {Agliardi, Rossella},
  title   = {New exact solutions to optimal consumption-investment problems with exponential utility},
  journal = {Math. Finance Lett.},
  volume  = {2020},
  year    = {2020},
  pages   = {1},
  doi     = {10.28919/mfl/4547}
}