Infinite-Horizon Investment Consumption Model with a Nonterminal Bankruptcy

This paper solves a general continuous-time consumption and portfolio decision problem for a single agent for whom there exists, upon bankruptcy, a possibility of recovery from his bankruptcy. The main contribution of the paper is in the modeling of the recovery process. Moreover, it is shown that the model with recovery has a one-to-one correspondence with the model with terminal bankruptcy treated in the literature

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Year of publication:	[2010]
Authors:	Sethi, Suresh
Other Persons:	Taksar, Michael I. (contributor)
Publisher:	[2010]: [S.l.] : SSRN

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Extent:	1 Online-Ressource (22 p)
Type of publication:	Book / Working Paper
Notes:	In: Journal of Optimization Theory and Applications, Vol. 74, No. 2, pp. 333-346, August 1992 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 1, 1986 erstellt
Classification:	C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; E21 - Consumption; Saving ; G11 - Portfolio Choice ; G12 - Asset Pricing ; O16 - Financial Markets; Saving and Capital Investment
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012759512