Distribution of Bankruptcy Time in a Consumption/Portfolio Problem

Journal of Economic Dynamics and Control, Vol. 20, Nos. 1-3, January-March 1996

7 Pages Posted: 30 Jan 2008 Last revised: 30 Apr 2014

See all articles by Ernst Presman

Ernst Presman

Russian Academy of Sciences (RAS)

Suresh Sethi

University of Texas at Dallas - Naveen Jindal School of Management

Abstract

In this note we provide an explicit formula for the probability distribution function of the bankruptcy time in a general consumption/investment problem involving subsistence consumption and bankruptcy penalty.

Keywords: consumption/portfolio problem ,bankruptcy, subsistence consumption, stochastic control

JEL Classification: C61, E21, G11, G12

Suggested Citation

Presman, Ernst and Sethi, Suresh, Distribution of Bankruptcy Time in a Consumption/Portfolio Problem. Journal of Economic Dynamics and Control, Vol. 20, Nos. 1-3, January-March 1996, Available at SSRN: https://ssrn.com/abstract=1087814

Ernst Presman

Russian Academy of Sciences (RAS) ( email )

Leninsky Ave, 14
Moscow, 119991
Russia

Suresh Sethi (Contact Author)

University of Texas at Dallas - Naveen Jindal School of Management ( email )

800 W. Campbell Road, SM30
Richardson, TX 75080-3021
United States

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