Dynamic asset liability management with tolerance for limited shortfalls

Optimum consumption and portfolio rules in a continuous-time model

Robert C. Merton · Journal of Economic Theory · 1971 · 6.2K citations

Social Sciences, Economics, Finance +16

Optimal consumption and portfolio policies when asset prices follow a diffusion process

John C. Cox, Chi-fu Huang · Journal of Economic Theory · 1989 · 1.7K citations

Business, Economics, Finance +17

Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon

Ioannis Karatzas, John P. Lehoczky, Steven E. Shreve · SIAM Journal on Control and Optimization · 1987 · 1.2K citations

Social Sciences, Economics, Finance +17

Liabilities— A New Approach

William F. Sharpe, Lawrence G. Tint · The Journal of Portfolio Management · 1990 · 348 citations

Business, Finance, Financial Accounting +9

Stochastic lifestyling: Optimal dynamic asset allocation for defined contribution pension plans

Andrew J. G. Cairns, David Blake, Kevin Dowd · Journal of Economic Dynamics and Control · 2005 · 319 citations

Business, Finance, Public Finance +16