Nils Hakansson developed the application of dynamic programming to optimal consumption, savings and uncertain lives with stochastic investment opportunity sets. His work on portfolio theory and optimal consumption and savings is the basis of modern multiperiod equilibrium theories and equilibrium dynamic programming macroeconomics and was one of the core steps in developing the microfoundations of macroeconomics. He along with Markowitz and Sharpe were the trio of Ph.D. theses that form the basis of modern portfolio theory, see [#!kn:HakanssonUCLA1966!#]. Hakansson's thesis includes the multiperiod extension of Markowitz.
http://www.haas.berkeley.edu/finance/hakansso.html