STOCHASTIC

CONSUMPTION AND PORTFOLIO RULES 413
5. S. FISCHER, Essays on assets and contingent commodities, Ph.D. Dissertation,
Department of Economics, Massachusetts Institute of Technology, August, 1969.
6. N. H. HAKANSSON, Optimal investment and consumption strategies under risk
for a class of utility functions, Economelrica to appear.
7. K. ITO, On stochastic differential equations, Mem. Amer. Math. Soc. No. 4 1951.
8. K. ITO AND H. P. MCKEAN, JR., "Diffusion Processes and Their Sample Paths,
Academic Press, New York, 1964.
9. H. J. KUSHNER, "Stochastic Stability and Control," Academic Press, New York,
1967.
10. H. E. LELAND, Dynamic portfolio theory, Ph.D. Dissertation Department of
Economics, Harvard University, May, 1968.
11. H. P. MCKEAN, JR., "Stochastic Integrals," Academic Press, New York, 1969.
12. R. C. MERTON, Lifetime portfolio selection under uncertainty: the continuoustime
case, Rev. Econ. Statist. LI (August, 1969), 247-257.
13. P. A. SAMUELSON, Lifetime Portfolio Selection by Dynamic Stochastic Programming,
Rev. Econ. Statist. LI (August 1969), 239-246.
14. P. A. SAMUELSON, The fundamental approximation theorem of portfolio analysis
in terms of means, variances and higher moments, Rev. Econ. Stud. (October,
1970).
15. R. L. STRATONOVICH, "Conditional Markov Processes and Their Application to
the Theory of Optimal Control," American Elsevier, New York, 1968.
16. F. BLACK, "Individual Investment and Consumption Strategies Under Uncertainty,"
Associates in Finance Financial Note No. 6C, September, 1970.
ERRATA
p. 382 (630). Footnote 16 should read:
m(P,W,t) = -JW/WJWW;
p. 384 (632). Lines 1 and 2 of Theorem II should read:
THEOREM II. 17 Given n assets with prices Pt whose changes are stationarily
and log-normally distributed, then (1) there exists a unique (up to a
nonsingular)
p. 386 (634). Last line should read:
p. 387 (635). Line 8 should read:
k = 1, ...,m
the corollary with a(W,t; U) = \m(W,t) + t\, where \,n are arbitrary
Line 21 should read:
Z E v ij a j
asset (i.e., n = 1), and the other fund to hold only risky assets (which
4. THE CAPITAL GROWTH CRITERION AND CONTINUOUS-TIME MODELS 661