Preprint

A note on robustness in Merton's model of intertemporal consumption

  • Trojani, Fabio Istituto di finanza (IFin), Facoltà di scienze economiche, Università della Svizzera italiana, Svizzera
  • Vanini, Paolo ECOFIN Research and Consulting AG, Zürich, Svizzera
    1999

15 p.

English The paper presents a robust version of a simple two-assets Merton's (1969) model where the optimal choices and the implied shadow market prices of risk for a representative robust decision maker (RDM) can be easily described. With the exeption of the log utility case, precautionary behaviour is induced in the optimal consumption-investment rules through a substitution of investment in risky... Show more…
Language
  • English
Classification
Economics
License
License undefined
Identifiers
  • RERO DOC 9078
Persistent URL
https://susi.usi.ch/usi/documents/317900