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Investment-Consumption Modeling

Encyclopedia of Systems and Control

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Abstract

The simplest investment-consumption problem is the celebrated example of Robert Merton (J Econ Theory 3(4):373-413, 1971). This survey shows three different ways of solving the problem, each of which is a valuable solution method for more complicated versions of the question.

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Bibliography

  • Cvitanic J, Zhang J (2012) Contract Theory in Continuous-time Models. Springer, Berlin/Heidelberg

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  • Merton RC (1971) Optimum consumption and portfolio rules in a continuous-time model. J Econ Theory 3(4):373–413

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  • Rogers LCG (2013) Optimal Investment. Springer, Berlin/New York

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  • Rogers LCG, Williams D (2000a) Diffusions, Markov Processes and Martingales, vol 1. Cambridge University Press, Cambridge/New York

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Authors and Affiliations

  1. University of Cambridge, Cambridge, UK

    L. C. G. Rogers

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  1. L. C. G. Rogers
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Correspondence to L. C. G. Rogers .

Editor information

Editors and Affiliations

  1. Electrical and Computer Engineering, Boston University, Boston, Massachusetts, USA

    John Baillieul

  2. Automation and Control Solutions, Honeywell, Golden Valley, Minnesota, USA

    Tariq Samad

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© 2014 Springer-Verlag London

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Rogers, L.C.G. (2014). Investment-Consumption Modeling. In: Baillieul, J., Samad, T. (eds) Encyclopedia of Systems and Control. Springer, London. https://doi.org/10.1007/978-1-4471-5102-9_39-2

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  • DOI: https://doi.org/10.1007/978-1-4471-5102-9_39-2

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  • Publisher Name: Springer, London

  • Online ISBN: 978-1-4471-5102-9

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Chapter history

  1. Latest

    Investment-Consumption Modeling
    Published:
    09 December 2020

    DOI: https://doi.org/10.1007/978-1-4471-5102-9_39-3

  2. Investment-Consumption Modeling
    Published:
    04 April 2014

    DOI: https://doi.org/10.1007/978-1-4471-5102-9_39-2

  3. Original

    Investment-Consumption Modeling
    Published:
    18 October 2013

    DOI: https://doi.org/10.1007/978-1-4471-5102-9_39-1

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