Optimal consumption and investment with bankruptcy:
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Boston u.a.
Kluwer
1997
|
| Subjects: | |
| Links: | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=007612314&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| Physical Description: | XX, 428 S. graph. Darst. |
| ISBN: | 079239755X |
Staff View
MARC
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| 100 | 1 | |a Sethi, Suresh P. |d 1945- |e Verfasser |0 (DE-588)123987202 |4 aut | |
| 245 | 1 | 0 | |a Optimal consumption and investment with bankruptcy |c Suresh P. Sethi |
| 264 | 1 | |a Boston u.a. |b Kluwer |c 1997 | |
| 300 | |a XX, 428 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 650 | 7 | |a Consumptieve vraag |2 gtt | |
| 650 | 7 | |a Faillissement |2 gtt | |
| 650 | 7 | |a Investeringen |2 gtt | |
| 650 | 7 | |a Investimentos |2 larpcal | |
| 650 | 7 | |a Portfolio-analyse |2 gtt | |
| 650 | 4 | |a Mathematisches Modell | |
| 650 | 4 | |a Investments -- Mathematical models | |
| 650 | 4 | |a Bankruptcy -- Mathematical models | |
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Record in the Search Index
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|---|---|
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| DE-BY-TUM_location | 01 |
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| _version_ | 1821932976170074112 |
| adam_text | Contents
Foreword xiii
Preface xix
PART I. INTRODUCTION 1
1. Consumption/Investment Problems 3
1. Introduction 3
2. Importance of Bankruptcy 6
3. Organization of the Book 7
References 14
PART II. MODELS WITH CONSTANT MARKET PARAMETERS
AND NONNEGATIVE CONSUMPTION 19
2. Explicit Solution of a General Consumption/Investment
Problem 21
(with I. Karatzas, J. P. Lehoczky and S. E. Shreve)
Abstract, Contents, and Key Words 23
1. Introduction 24
2. Summary of Assumptions and Results 25
3. Admissible Policies 27
4. The Bellman Equation 29
5. Reduction of the Model: Mutual Fund Theorem 30
6. Solving the Bellman Equation. Part I 32
7. Candidate Optimal Policies 34
8. Performance Evaluation of Candidate Optimal Policies ... 35
9. Solving the Bellman Equation. Part II 40
10. Solution When U (0) = oo, £/(0) Is Finite, P = U(0)/, i ... 41
11. Solution When U(0) = oo 42
12. Solution in All Other Cases Where the Consumption
Constraint Is Inactive 46
13. Solution When the Consumption Constraint Is Active ....46
14. Solutions for HARA Utility Functions 52
15. Dependence of the Optimal Policy on the Prices 53
16. The Model with Nonconstant /3, £) and r 54
17. Tabulated Results 54
.11
References 56
A Note on Merton s Optimum Consumption and Portfolio
Lules in a Continuous time Model 57
(with M. I. Taksar)
Abstract 59
1. Introduction 59
2. Feasibility Violations 60
3. Concluding Remarks 64
References 64
:. Infinite Horizon Investment Consumption Model with a
•Nonterminal Bankruptcy 67
(with M. I. Taksar)
Abstract and Key Words 68
1. Introduction 69
2. Model 70
3. Bellman Equation 74
4. Reduction to the Problem with Terminal Bankruptcy 76
5. Correspondence between P and fi,
Cases Where U{0) = oo or fi = 0 78
6. Correspondence between P and /z,
Cases Where U (Q) oo, U (Q) = oo 78
7. Correspondence between P and /x,
Cases Where C/ (0) oo 81
8. Tabulated Results 82
References 84
. Risk Aversion Behavior in Consumption/Investment Prob
ems 85
(with E. L. Presman)
Abstract and Key Words 86
1. Introduction 87
2. Statement of the Consumption/Investment Problem 89
3. Solution of the Consumption/Investment Problem 92
4. Results in the General Case 98
5. Special Case of HARA Utility Functions 107
6. Summary of Results 110
7. Discussion of Results 113
References 115
PART III: MODELS WITH CONSTANT MARKET PARAMETERS
AND POSITIVE SUBSISTENCE CONSUMPTION 117
6. Explicit Solution of a General Consumption/Portfolio Prob¬
lem with Subsistence Consumption and Bankruptcy 119
(with M. I. Taksar and E. L. Presman)
Abstract 120
1. Introduction 121
2. Summary of Assumptions and Results 124
3. The Bellman Equation and its Analysis 126
4. Construction of the Value Function 131
5. Characterization of Optimal Policy 135
6. Tabular Summary of Results 141
References 142
7. Distribution of Bankruptcy Time in a Consump¬
tion/Portfolio Problem 145
(with E. L. Presman)
Abstract and Key Words 146
1. Introduction 147
2. The Consumption/Investment Problem 147
3. Probability Distribution of Bankruptcy Time 151
4. Concluding Remarks 153
References 154
8. Risk Aversion Behavior in Consumption/Investment Prob¬
lems with Subsistence Consumption 155
(with E. L. Presman)
Abstract and Key Words 156
1. Introduction 157
2. Summary and Interpretation of Previous Results with
Subsistence Consumption and Bankruptcy 159
3. Some Properties of Risk Aversion Behavior in the
General Case 163
4. Absolute Risk Aversion Behavior in the HARA Case 164
5. Relative Risk Aversion Behavior in the HARA Case 168
6. Proofs of Results 176
xll Contents
5. Discount Rate Equal to Interest Rate (0 (3 = r) 364
6. Discount Rate Greater Than Interest Rate (0 r (3) 366
7. The HARA Utility Functions 372
References 376
15. A Martingale Formulation for Optimal Consump¬
tion/Investment Decision Making 379
(with J. P. Lehoczky and S. E. Shreve)
Abstract and Key Words 380
1. Introduction 381
2. Summary of Wiener Process Results 384
3. Precise Model Formulation 388
4. Examples 395
5. Appendix: Cumulative Utility of Consumption 401
References 405
PART VI: CONCLUSIONS 407
16. Concluding Remarks and Open Research Problems . .. 409
1. A Brief Summary of the Models Presented 409
2. Important Extensions of the Single Agent Models 411
3. Where We Go From Here? 416
References 419
Author Index 423
Copyright Permissions 427
Contents
References 183
9. Consumption Behavior in Investment/Consumption Prob¬
lems 185
(with E. L. Presman)
Abstract and Key Words 186
1. Introduction 187
2. Summary and Interpretation of Previous Results with
Subsistence Consumption and Bankruptcy 188
3. Some Properties of Consumption Behavior in the
General Case 194
4. Consumption Behavior in the HARA Case 195
5. Proofs of Results 199
References 205
10. Equivalence of Objective Functionals in Infinite Horizon
and Random Horizon Problems 207
(with E. L. Presman)
Abstract and Key Words 208
1. Introduction 209
2. Objective Functionals in the Infinite Horizon Case 210
3. Objective Functionals in the Random Horizon Case 211
4. Reduction in the General Case 212
5. Some Specializations and Discussion 213
References 215
11. A Contribution to the Micro Foundation for Keynesian
Macroeconomic Models 217
(with M. J. Gordon)
Abstract and Key Words 218
1. Introduction 219
2. The Decision Model 220
3. Discussion of Bankruptcy 224
4. rj Equal to Zero 227
5. rj Greater Than Zero 230
6. rj Less Than Zero 235
7. Macro Implications 239
References 242
Contents xi
PART IV: MODELS WITH MORE GENERAL MARKETS AND POS¬
ITIVE SUBSISTENCE CONSUMPTION 245
12. The Consumption Investment Problem with Subsistence
Consumption, Bankruptcy, and Random Market
Coefficients 247
(with A. Cadenillas)
Abstract and Key Words 248
1. Introduction 249
2. The Financial Market Model 251
3. Consumption and Investment 258
4. The Optimal Time of Bankruptcy 267
5. The Case of High Initial Wealth 271
6. The Optimal Portfolio and Consumption Processes:
The General Case 273
7. Concluding Remarks 276
References 277
PART V: MODELS WITH CONSTANT MARKET PARAME¬
TERS, POSITIVE SUBSISTENCE CONSUMPTION AND BORROW
ING/SHORTSELLING CONSTRAINTS 281
13. Optimal Dynamic Consumption and Portfolio Planning in
a Welfare State 283
(with M. J. Gordon and B. Ingham)
Abstract 285
1. The Model 286
2. Solution of the Three Period Problem 288
3. Extension and Concluding Remarks 299
Appendix 300
References 302
14. Optimal Consumption and Investment Policies Allowing
Consumption Constraints, Bankruptcy and Welfare 303
(with J. P. Lehoczky and S. E. Shrove)
Abstract and Key Words 304
1. Introduction 305
2. Preliminary Statement of Results 310
3. Precise Model and Optimality Theorems 319
4 Dicrnnnt Rate. F.ooc Than Tntprpst Rate (0 3 r) 353
|
| any_adam_object | 1 |
| author | Sethi, Suresh P. 1945- |
| author_GND | (DE-588)123987202 |
| author_facet | Sethi, Suresh P. 1945- |
| author_role | aut |
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| callnumber-raw | HG4515.2.S47 1997 |
| callnumber-search | HG4515.2.S47 1997 |
| callnumber-sort | HG 44515.2 S47 41997 |
| callnumber-subject | HG - Finance |
| classification_rvk | QW 000 |
| classification_tum | WIR 160f |
| ctrlnum | (OCoLC)35574566 (DE-599)BVBBV011329128 |
| dewey-full | 332.620 332.6 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.6 20 332.6 |
| dewey-search | 332.6 20 332.6 |
| dewey-sort | 3332.6 220 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Book |
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| id | DE-604.BV011329128 |
| illustrated | Illustrated |
| indexdate | 2024-12-20T10:10:30Z |
| institution | BVB |
| isbn | 079239755X |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-007612314 |
| oclc_num | 35574566 |
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| owner_facet | DE-19 DE-BY-UBM DE-703 DE-91G DE-BY-TUM DE-521 |
| physical | XX, 428 S. graph. Darst. |
| publishDate | 1997 |
| publishDateSearch | 1997 |
| publishDateSort | 1997 |
| publisher | Kluwer |
| record_format | marc |
| spellingShingle | Sethi, Suresh P. 1945- Optimal consumption and investment with bankruptcy Consumptieve vraag gtt Faillissement gtt Investeringen gtt Investimentos larpcal Portfolio-analyse gtt Mathematisches Modell Investments -- Mathematical models Bankruptcy -- Mathematical models Privater Verbrauch (DE-588)4076351-1 gnd Portfolio Selection (DE-588)4046834-3 gnd |
| subject_GND | (DE-588)4076351-1 (DE-588)4046834-3 |
| title | Optimal consumption and investment with bankruptcy |
| title_auth | Optimal consumption and investment with bankruptcy |
| title_exact_search | Optimal consumption and investment with bankruptcy |
| title_full | Optimal consumption and investment with bankruptcy Suresh P. Sethi |
| title_fullStr | Optimal consumption and investment with bankruptcy Suresh P. Sethi |
| title_full_unstemmed | Optimal consumption and investment with bankruptcy Suresh P. Sethi |
| title_short | Optimal consumption and investment with bankruptcy |
| title_sort | optimal consumption and investment with bankruptcy |
| topic | Consumptieve vraag gtt Faillissement gtt Investeringen gtt Investimentos larpcal Portfolio-analyse gtt Mathematisches Modell Investments -- Mathematical models Bankruptcy -- Mathematical models Privater Verbrauch (DE-588)4076351-1 gnd Portfolio Selection (DE-588)4046834-3 gnd |
| topic_facet | Consumptieve vraag Faillissement Investeringen Investimentos Portfolio-analyse Mathematisches Modell Investments -- Mathematical models Bankruptcy -- Mathematical models Privater Verbrauch Portfolio Selection |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=007612314&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT sethisureshp optimalconsumptionandinvestmentwithbankruptcy |
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| Call Number: |
0102 WIR 160f 2008 A 1753
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