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Showing 1 to 1 of 1 for “"Merton's Problem"”.
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Modeling risk of the multi-period market portfolio: an equilibrium-based approach
… we first show that the representative investor‟s problem of maximizing the expected utility of lifetime consumption, aka Merton‟s problem, is equivalent to a generalized mean-variance optimization problem, which has both expected return and “covariance” constraints, where “covariance” is that of …