We apply perturbation theory to solve the optimal control problem of an investor with time-additive power utility over intermediate consumption and final wealth. Under general conditions we show existence of a power series representation for the prevailing optimal consumption and investment...

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...

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...

We solve analytically the Merton's problem of an investor with timeadditive 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...

We apply perturbation theory to solve the optimal control problem of an investor with time-additive power utility over intermediate consumption and final wealth. Under general conditions we show existence of a power series representation for the prevailing optimal consumption and investment...