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A Near Optimal Portfolio Rule for the Life Cycle Merton Problem
Lorenzo Reus
, Pablo Castañeda
Business School
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peer-review
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INIS
solutions
100%
life cycle
100%
investment
60%
market
60%
constraints
60%
assets
60%
environment
40%
levels
20%
simulation
20%
demand
20%
benchmarks
20%
risks
20%
approximations
20%
optimization
20%
accounting
20%
lagrangian
20%
Keyphrases
Portfolio Constraints
100%
Merton Problem
100%
Produce Consumption
33%
Certainty Equivalent
33%
Consumption-investment
33%
Return Risk Measures
33%
Investment Rules
33%
Economics, Econometrics and Finance
Investment Opportunity
100%
Life Cycle
100%
Incomplete Market
50%
Hedging
50%
Index Derivative
50%
Computer Science
Certainty Equivalent
100%
Optimal Portfolio
100%