以下是Merton 的Ph.D. thesis: Analytical optimal control theory as applied to stochastic and non-stochastic economics
由于文章过于久远,所以效果不太好
大家可以参考《连续时间金融》一书,论文里面的内容在其中均有收录
1. Optimum Consumption and Portfolio Rules in a Continuous-Time Model
2. Lifetime Portfolio Selection Under Uncertainty: The Continuous-Time Case
3. A Golden Golden-Rule for Welfare-Maximization in an Economy with a Varying Population Growth Rate
4. A Complete Model of Warrant Pricing that Maximizes Utility
5. An Empirical Investment of the Samuelson Rational Warrant Pricing Theory
325017.rar
(13.09 MB)
本附件包括:- Analytical optimal control theory as applied to stochastic and non-stochastic economics.pdf