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Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case
, 1969R. C. Merton
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Efficient Portfolios and Hedging Portfolios
1997Among the major applications of ARCH models is the estimation of volatility evolving in time. This estimation allows one to compare portfolios or to build them with desired properties, for instance, those that maximize the expected utility of their return or allow one to hedge several sources of risk.
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Optimal Versus Naive Diversification: How Inefficient is the 1/N Portfolio Strategy?
, 2009Victor DeMiguel +2 more
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Optimum Consumption and Portfolio Rules in a Continuous-Time Model*
, 1975R. C. Merton
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Portfolio Transition and Transition Portfolios
2002For pension plan sponsors, funds of funds and other investors engaging the services of investment managers, changing investment managers is time consuming and potentially very costly. Factors influencing how portfolio transition between investment managers is managed include:
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Consumption and Portfolio Choice over the Life Cycle
, 2005João F. Cocco +2 more
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Population diversity and the portfolio effect in an exploited species
Nature, 2010D. Schindler +6 more
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