|
|
|
|
||||
|
||||
Optimal Consumption-Investment Decisions Allowing for Bankruptcy: A SurveySuresh SethiUniversity of Texas at Dallas - Naveen Jindal School of Management January 14, 2009 WORLDWIDE ASSET AND LIABILITY MODELING, W.T. Ziemba, J.M. Mulvey, eds., pp. 387-426, Cambridge University Press, Cambridge, U.K., 1998 Abstract: 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.
Number of Pages in PDF File: 39 Keywords: Consumption and Investment problem, Portfolio and Consumption problem, bankruptcy, subsistence consumption, minimal consumption, borrowing constraints, stochastic optimal control, martingale problems, optimal stopping problems, Risk aversion measures, Open Research Problems, financial engineering JEL Classification: C61, D11, D60, D81, G11, G33, G12, H31 Accepted Paper SeriesDate posted: January 16, 2009 ; Last revised: March 6, 2009Suggested CitationContact Information
|
|
||||||||||||||
© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.
FAQ
Terms of Use
Privacy Policy
Copyright
This page was processed by apollo7 in 0.313 seconds
