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
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: Suggested Citation
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