We consider a discrete-time optimal consumption and investment problem of an investor who is interested in maximizing his utility from consumption and terminal wealth subject to a random inflation in the consumption basket price over time. We consider two cases: (i) when the investor observes...

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...

In this note we provide an explicit formula for the probability distribution function of the bankruptcy time in a general consumption/investment problem involving subsistence consumption and bankruptcy penalty

Firms frequently utilize multiple communications instruments as part of their marketing campaign. Interactions between these instruments suggest that firms should apply Integrated Marketing Communications (IMC) to benefit from the synergies. We review different IMC models and then present a...

We consider optimal consumption and portfolio investment problems of an investor who is interested in maximizing his utilities from consumption and terminal wealth subject to a random inflation in the consumption basket price over time. We consider two cases: (i) when the investor observes the...