A variational problem arising in financial economics
John C. Cox and Chi-fu Huang

Sloan School of Management, Massachusetts Institute of Technology, Cambridge, MA 02139, USA


Submitted November 1988
Available online 1 March 2002.



Optimal consumption and portfolio policies when asset prices follow a diffusion process
John C. Cox and Chi-fu Huang*

Sloan School of Management, Massachusetts Institute of Technology, Cambridge, MA 02139, USA


Received 3 April 1987;
Revised 4 October 1988.
Available online 27 July 2004


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