Distribution of bankruptcy time in a consumption/portfolio problem

DOI10.1016/0165-1889(94)00860-2zbMath0875.90134OpenAlexW2146136162MaRDI QIDQ1350685

Suresh P. Sethi, Ernst L. Presman

Publication date: 27 February 1997

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

Full work available at URL: https://doi.org/10.1016/0165-1889(94)00860-2

zbMATH Keywords

BankruptcyStochastic dynamic programmingOptimal consumption/investment problemSubsistence consumption

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Economic growth models (91B62) Optimal stochastic control (93E20)

Cites Work

• Unnamed Item
• Explicit solution of a general consumption/portfolio problem with subsistence consumption and bankruptcy
• RISK‐AVERSION BEHAVIOR IN CONSUMPTION/INVESTMENT PROBLEMS¹

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