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Investment-Consumption Modeling

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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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  • Rogers LCG, Williams D (2000b) Diffusions, Markov processes and martingales, vol 2. Cambridge University Press, Cambridge/New York

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Author information

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, MA, USA

    John Baillieul

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

    Tariq Samad

Section Editor information

  1. Princeton University, Princeton, NJ, USA

    Rene Carmona

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Rogers, L.C.G. (2021). 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_39-3

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

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  • Publisher Name: Springer, London

  • Print ISBN: 978-1-4471-5102-9

  • Online ISBN: 978-1-4471-5102-9

  • eBook Packages: Springer Reference EngineeringReference Module Computer Science and Engineering

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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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