期刊名称：Discussion Papers of the Department of Economics, University of St.Gallen = Diskussionspapiere der Volkswirtschaftlichen Abteilung der Universität St.Gallen
出版年度：2005
卷号：2005
出版社：Universität St. Gallen
摘要：We solve analytically the Merton's problem of an investor with time additive power utility. For general state dynamics, we prove existence of two power series representations of the relevant optimal policies and value functions, which hold for all admissible risk aversion parameters. We characterize all terms in the power series by a recursive formula, allowing analytical computations to arbitrary order. Some applications to explicit model settings highlight a very satisfactory accuracy of finite order approximations provided by our power series solution approach.
