The coefficients of Taylor's [Taylor, J.B., 1993. Discretion versus policy rules in practice. Carnegie Rochester Conference Series on Public Policy 39, 195-214] monetary policy rule can be seen as portfolio weights. Their optimal values are derived by adapting Merton's [Merton, R.C., 1971. Optimum consumption and portfolio rules in a continuous-time model. Journal of Economic Theory 3, 373-413] asset allocation model.