Research conducted at C. Blanchetscalliet and co-authors has provided new information about mathematical economics.

According to a study from Nice, France, "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, R.C., 1971."
"Optimal consumption and portfolio rules in a continuous-time model. Journal of Economic Theory 3, 373-413], where we allow the conditional distribution function of an agent's time-horizon to be stochastic and correlated to returns on risky securities," wrote C. Blanchetscalliet and colleagues.
The researchers concluded: "In contrast to existing literature, which has focused on an independent time-horizon, we show that the portfolio decision is affected."
Blanchetscalliet and colleagues published the results of their research in the Journal of Mathematical Economics (Optimal investment decisions when time-horizon is uncertain. Journal of Mathematical Economics, 2008;44(11):1100-1113).
For additional information, contact L. Martellini, EDHEC Business School, EDHEC Risk & Asset Managment Research Center, 400 Promenade Anglais, BP 3116, F-06202 Nice 3, France.
The publisher of the Journal of Mathematical Economics can be contacted at: Elsevier Science SA, PO Box 564, 1001 Lausanne, Switzerland.
Keywords: France, Nice, Life Sciences, Mathematical Economics.
This article was prepared by Journal of Mathematics editors from staff and other reports.