Merton's portfolio problem

ID: merton-s-portfolio-problem

Merton's portfolio problem refers to a framework developed by economist Robert C. Merton in the early 1970s, which addresses how an individual can optimally allocate their wealth between risky and risk-free assets in a continuous-time setting over a finite investment horizon. The problem is often situated within the context of utility maximization, where individuals seek to maximize their expected utility from terminal wealth.

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