Optimal investment and consumption under partial information

Optimum consumption and portfolio rules in a continuous-time model

Robert C. Merton · Journal of Economic Theory · 1971 · 6.1K citations

Mathematical Programming, Economics, Portfolio Optimization +9

Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case

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

Portfolio Choice, Asset Pricing, Consumption Rules +18

Brownian motion and stochastic calculus

Jan Seidler · Acta Applicandae Mathematicae · 1991 · 2.2K citations

Engineering, Stochastic Calculus, Probability Theory +3

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

General Consumption/investment Problem, Optimal Portfolio, Portfolio Management +23

A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios

Stanley R. Pliska · Mathematics of Operations Research · 1986 · 559 citations

Mathematical Programming, Economics, Portfolio Optimization +11