Linear models of economic survival under production uncertainty

DOI10.1007/BF01210571zbMath0807.90031OpenAlexW2054445192MaRDI QIDQ1338120

Roy Radner, Mukul K. Majumdar

Publication date: 27 November 1994

Published in: Economic Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf01210571

zbMATH Keywords

optimal investment policyprobability of survival

Mathematics Subject Classification ID

Production theory, theory of the firm (91B38) Economic growth models (91B62)

Related Items (9)

Corrigendum: Linear models of economic survival under production uncertainty ⋮ On some aspects of survival under production uncertainty ⋮ Optimal principal agent contracts for a class of incentive schemes: A characterization and the rate of approach to efficiency ⋮ Theory of dynamic portfolio for survival under uncertainty ⋮ Optimal asset allocation in life annuities: a note. ⋮ Bankruptcy and expected utility maximization ⋮ Bankruptcy and expected utility maximization ⋮ Self-Annuitization and Ruin in Retirement ⋮ Martingales, scale functions and stochastic life annuities: A note

Cites Work

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• Optimum consumption and portfolio rules in a continuous-time model
• Intertemporal borrowing to sustain exogenous consumption standards under uncertainty
• Another note on the Borel-Cantelli lemma and the strong law, with the Poisson approximation as a by-product
• Optimal Consumption and Investment Policies Allowing Consumption Constraints and Bankruptcy
• Minimizing or Maximizing the Expected Time to Reach Zero

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