Optimal Investment Decisions When Time Horizon is Uncertain 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, this paper considers a suitable extension of the familiar optimal investment problem of Merton (1971), where the authors allow the conditional distribution function of an agent's time horizon to be stochastic and correlated to returns on risky securities. In contrast to existing literature, which has focused on an independent time horizon, the authors show that the portfolio decision is affected. More...