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Merton's portfolio problem refers to a framework developed by economist Robert C. Merton in the early 1970s, which addresses how an individual can optimally allocate their wealth between risky and risk-free assets in a continuous-time setting over a finite investment horizon. The problem is often situated within the context of utility maximization, where individuals seek to maximize their expected utility from terminal wealth.

Ancestors (6)

  1. Financial economics
  2. Actuarial science
  3. Applied mathematics
  4. Fields of mathematics
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