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Revisiting the Merton Problem: from HARA to CARA Utility

Ma, GY; Zhu, SP

Ma, GY (corresponding author), Xi An Jiao Tong Univ, Sch Econ & Finance, Xian 710049, Peoples R China.

COMPUTATIONAL ECONOMICS, ; ():

Abstract

This paper revisits the classical Merton problem on the finite horizon with the constant absolute risk aversion utility function. We apply two differe......

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