We study a generalization of the Merton's original problem of optimal consumption and portfolio choice for a single investor in an intertemporal economy. The agent trades between a bond and a stock account and he may consume out of his bond holdings. The price of the bond is deterministic as...

The aim of this short review is to outline the main directions of stable Paretian modeling in portfolio management. Copyright Springer-Verlag Berlin Heidelberg 2000