Optimal investment with minimum performance constraints

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

THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER

William Margrabe · The Journal of Finance · 1978 · 1.6K citations

Business, Economics, Finance +9

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

Keeping up with the Joneses: Consumption Externalities, Portfolio Choice, and Asset Prices

Journal of money credit and banking · 1994 · 655 citations

Business, Economics, Finance +17