Blanchet-Scalliet, Christophette; El Karoui, Nicole; … - In: Journal of Mathematical Economics 44 (2008) 11, pp. 1100-1113
Many investors do not know with certainty when their portfolio will be liquidated. Should their portfolio selection be influenced by the uncertainty of exit time? In order to answer this question, we consider a suitable extension of the familiar optimal investment problem of Merton [Merton,...