《Lifetime Portfolio Selection under Uncertainty the Continuous Time Case》.pdfVIP

Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case Author(s): Robert C. Merton Source: The Review of Economics and Statistics, Vol. 51, No. 3 (Aug., 1969), pp. 247-257 Published by: The MIT Press Stable URL: /stable/1926560 Accessed: 28/12/2009 12:58 Your use of the JSTOR archive indicates your acceptance of JSTORs Terms and Conditions of Use, available at /page/info/about/policies/terms.jsp. JSTORs Terms and Conditions of Use provides, in part, that unless you have obtained prior permission, you may not download an entire issue of a journal or multiple copies of articles, and you may use content in the JSTOR archive only for your personal, non-commercial use. Please contact the publisher regarding any further use of this work. Publisher contact information may be obtained at /action/showPublisher?publisherCode=mitpress. Each copy of any part of a JSTOR transmission must contain the same copyright notice that appears on the screen or printed page of such transmission. JSTOR is a not-for-profit service that helps scholars, researchers, and students discover, use, and build upon a wide range of content in a trusted digital archive. We use information technology and tools to increase productivity and facilitate new forms of scholarship. For more information about JSTOR, please contact support@. The MIT Press is collaborating with JSTOR to digitize, preserve and extend access to The Review of Economics and Statistics. LIFETIME PORTFOLIO SELECTION UNDER UNCERTAINTY: THE CONTINUOUS-TIME CASE Robert C. Merton * I Introduction tion must be generalizedto become a stochastic OST models of portfolio selection have differential equation. To see the meaning of M been one-period models. I