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Reference | Title | Link |
Samuelson, P.A. (1969) | Lifetime Portfolio Selection by Dynamic Stochastic Programming | |
Introduction (first paragraph)
"Most analyses of portfolio selection, whether they are of the Markowitz-Tobin mean-variance or of more general type, maximise over one period. I shall here formulate and solve a many period generalization, corresponding to lifetime planning of consumption and investment decisions. For simplicity of exposition I shall confine my explicit discussion to special and easy cases that suffice to illustrate the general principles involved." |
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