Optimum consumption and portfolio rules in a continuous-time model

Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case

Robert C. Merton · The Review of Economics and Statistics · 1969 · 5.3K citations

Social Sciences, Economics, Finance +17

<i>The Theory of Stochastic Processes</i>

D. R. Cox, H. D. Miller, George H. Weiss et al. · Physics Today · 1966 · 3.4K citations

Engineering, Mathematics, Probability Theory +11

Lifetime Portfolio Selection By Dynamic Stochastic Programming

Paul A. Samuelson · The Review of Economics and Statistics · 1969 · 1.7K citations

Business, Finance, Financial Management +14

Diffusion Processes and their Sample Paths.

G. F. Newell, Kanae Ito, H. P. McKean · American Mathematical Monthly · 1968 · 1.1K citations

Engineering, Mathematics, Financial Economics +16

On stochastic differential equations

Kiyosi Itô · Memoirs of the American Mathematical Society · 1951 · 787 citations

Engineering, Mathematics, Physics +12