Explicit solution of a general consumption/portfolio problem with subsistence consumption and bankruptcy

DOI10.1016/0165-1889(92)90056-KzbMath0762.90005OpenAlexW2005940249MaRDI QIDQ1200324

Ernst L. Presman, Suresh P. Sethi, Michael I. Taksar

Publication date: 16 January 1993

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1889(92)90056-k

zbMATH Keywords

continuous-time single-agent consumption and portfolio decision problem

Mathematics Subject Classification ID

Related Items (19)

Consumption-portfolio choice with subsistence consumption and risk aversion change at retirement ⋮ Optimal consumption and portfolio selection problem with downside consumption constraints ⋮ Sequential $\delta$-Optimal Consumption and Investment for Stochastic Volatility Markets with Unknown Parameters ⋮ Distribution of bankruptcy time in a consumption/portfolio problem ⋮ Stochastic continuous time growth models that allow for closed form solutions ⋮ Consumption-investment problem with subsistence consumption, bankruptcy, and random market coefficients ⋮ Increasing risk aversion and life-cycle investing ⋮ Optimal investment, consumption and retirement choice problem with disutility and subsistence consumption constraints ⋮ Pension funds with a minimum guarantee: a stochastic control approach ⋮ Consumption and investment under constraints ⋮ Optimal dynamic tax evasion ⋮ Dynamic asset allocation when bequests are luxury goods ⋮ Role of index bonds in an optimal dynamic asset allocation model with real subsistence consumption ⋮ Purchasing Term Life Insurance to Reach a Bequest Goal while Consuming ⋮ Stochastic Volatility Asymptotics for Optimal Subsistence Consumption and Investment with Bankruptcy ⋮ Optimal proportional reinsurance policies for diffusion models with transaction costs ⋮ Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs ⋮ Effects of a government subsidy and labor flexibility on portfolio selection and retirement ⋮ Optimal proportional reinsurance policies for diffusion models

Cites Work

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• Infinite-horizon investment consumption model with a nonterminal bankruptcy
• Optimal Consumption and Investment Policies Allowing Consumption Constraints and Bankruptcy
• Optimization Problems in the Theory of Continuous Trading
• Existence and Uniqueness of Multi-Agent Equilibrium in a Stochastic, Dynamic Consumption/Investment Model
• Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
• An Optimal Investment/Consumption Model with Borrowing
• RISK‐AVERSION BEHAVIOR IN CONSUMPTION/INVESTMENT PROBLEMS¹
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