Optimal Consumption-Investment Decisions Allowing for Bankruptcy

Released on by Suresh Sethi
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  • Optimal Consumption-Investment Decisions Allowing for Bankruptcy Book Detail

  • Author : Suresh Sethi
  • Release Date : 2014
  • Publisher :
  • Genre :
  • Pages : 39
  • ISBN 13 :
  • File Size : 9,9 MB
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Optimal Consumption-Investment Decisions Allowing for Bankruptcy by Suresh Sethi PDF Summary

Book Description: This paper surveys the research on optimal consumption and investment problem of an agent who is subject to bankruptcy that has a specified utility (reward or penalty). The bankruptcy utility, modeled by a parameter, may be the result of welfare subsidies, the agent's innnate ability to recover from bankruptcy, psychic costs associated with bankruptcy, etc. Modeled with non-negative consumption, positive subsistence consumption, risky assets modeled by geometric Brwonian motions or semimartingales are discussed. The paper concludes with suggestions for open research problems.

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