CGMPortfolio.bib

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@article{cgm2015,
  author =        {Cocco, Jo\~ao F. and Gomes, Francisco J. and
                   Maenhout, Pascal J.},
  journal =       {The Review of Financial Studies},
  month =         {02},
  number =        {2},
  pages =         {491-533},
  title =         {{Consumption and Portfolio Choice over the Life
                   Cycle}},
  volume =        {18},
  year =          {2005},
  abstract =      {{This article solves a realistically calibrated life
                   cycle model of consumption and portfolio choice with
                   non-tradable labor income and borrowing constraints.
                   Since labor income substitutes for riskless asset
                   holdings, the optimal share invested in equities is
                   roughly decreasing over life. We compute a measure of
                   the importance of human capital for investment
                   behavior. We find that ignoring labor income
                   generates large utility costs, while the cost of
                   ignoring only its risk is an order of magnitude
                   smaller, except when we allow for a disastrous labor
                   income shock. Moreover, we study the implications of
                   introducing endogenous borrowing constraints in this
                   incomplete-markets setting.}},
  doi =           {10.1093/rfs/hhi017},
  issn =          {0893-9454},
  url =           {https://doi.org/10.1093/rfs/hhi017},
}

@article{merton,
  author =        {Robert C. Merton},
  journal =       {The Review of Economics and Statistics},
  number =        {3},
  pages =         {247--257},
  publisher =     {The MIT Press},
  title =         {Lifetime Portfolio Selection under Uncertainty: The
                   Continuous-Time Case},
  volume =        {51},
  year =          {1969},
  issn =          {00346535, 15309142},
  url =           {http://www.jstor.org/stable/1926560},
}

@article{samuelson,
  author =        {Paul A. Samuelson},
  journal =       {The Review of Economics and Statistics},
  number =        {3},
  pages =         {239--246},
  publisher =     {The MIT Press},
  title =         {Lifetime Portfolio Selection By Dynamic Stochastic
                   Programming},
  volume =        {51},
  year =          {1969},
  issn =          {00346535, 15309142},
  url =           {http://www.jstor.org/stable/1926559},
}