Merton's portfolio problem is a problem in continuous-time finance and in particular intertemporal portfolio choice. An investor must choose how much to...

approaches to asset pricing and portfolio selection (such as arbitrage pricing theory and Merton's portfolio problem), the CAPM still remains popular...

that a portfolio is not efficient Merton's portfolio problem Mutual fund separation theorem, giving a property of mean-variance efficient portfolios Portfolio...

faculty at MIT in 2021. Merton's research focuses on finance theory including lifecycle finance, optimal intertemporal portfolio selection, capital asset...

C. Merton's seminal 1973 article on the intertemporal capital asset pricing model. (See also Merton's portfolio problem). The solution to Merton's theoretical...

optimal investment strategies in the market (see for example Merton's portfolio problem). As an example, we can look at a system with linear stochastic...

below Modern portfolio theory § Mathematical model Portfolio optimization § Optimization methods § Mathematical tools Merton's portfolio problem Kelly criterion...

uncertainty should be recognized. Gambling and information theory Merton's portfolio problem Proebsting's paradox Risk of ruin Kelly, J. L. (1956). "A New...

allocation Buy and hold Constant proportion portfolio insurance Dollar cost averaging Merton's portfolio problem extremely optimistic, for illustration purposes...

Massachusetts Institute of Technology Black–Scholes–Merton model, ICAPM, Merton's portfolio problem Myron Scholes (b. 1941)  Canada  United States University...

was Robert Merton's seminal 1973 article on the intertemporal capital asset pricing model. (See also Merton's portfolio problem). Merton's theoretical...

under-valued assets which will eventually recover. Asset allocation Merton's portfolio problem Johnathan Davis and Alasdair Nairn (2012). Templeton's Way With...

equation (local volatility) Hamilton–Jacobi–Bellman equation Merton's portfolio problem Optimal stopping Malthusian growth model Mean field game theory...

Robert C. Merton used dynamic programming in his 1973 article on the intertemporal capital asset pricing model. (See also Merton's portfolio problem). In Merton's...

Modern portfolio theory (MPT), or mean-variance analysis, is a mathematical framework for assembling a portfolio of assets such that the expected return...

yield a complete solution. Only a few such problems have been solved, such as Merton's portfolio problem in financial economics or trajectory optimization...

to begin investigation of this issue. At the same time as Merton's work and with Merton's assistance, Fischer Black and Myron Scholes developed the Black–Scholes...

In modern portfolio theory, the efficient frontier (or portfolio frontier) is an investment portfolio which occupies the "efficient" parts of the risk–return...

to be allocated in the portfolio, and let 1 {\displaystyle 1} be a vector of ones. Then the problem of minimizing the portfolio return variance subject...

The Black–Scholes /ˌblæk ˈʃoʊlz/ or Black–Scholes–Merton model is a mathematical model for the dynamics of a financial market containing derivative investment...

with Merton Miller, shared the 1990 Nobel Memorial Prize in Economic Sciences, for the first time ever awarded for a work in finance. The portfolio-selection...

about the problem of valuing stock options. Of course, their paper on that subject, timed so as to coincide with a related paper by Robert C. Merton, would...

setting, the CAPM typically implies multiple risk factors, as shown in Merton's Intertemporal CAPM theory. Moreover, the ICAPM generally implies the expected...

NJ: Rowman & Littlefield. ISBN 0847673596. Merton, Robert C. (1971). "Optimum Consumption and Portfolio Rules in a Continuous-Time Model". Journal of...

2009-08-06. Merton H. Miller, (1999). The History of Finance: An Eyewitness Account, Journal of Portfolio Management. Summer 1999. Robert C. Merton "Nobel...

is perhaps the most recurrent financial problem. On a daily basis, investment managers must build portfolios that incorporate their views and forecasts...

1998 Russian financial crisis. The master hedge fund, Long-Term Capital Portfolio L.P., collapsed soon thereafter, leading to an agreement on September...

collaborator Myron Scholes and former colleague Robert C. Merton for the Black-Scholes model and Merton's application of the model to a continuous-time framework...

1939) is an American economist, best known for his empirical work on portfolio theory, asset pricing, and the efficient-market hypothesis. He is currently...

Harry Markowitz in the early 1950s. Markowitz conceived of the portfolio selection problem as an exercise in mean-variance optimization. This required more...