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Optimal Investment-Consumption Decisions With Partially Observed Inflation : A Discrete-Time Formulation
Bensoussan, Alain - 2019
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...
Persistent link: https://www.econbiz.de/10012866896
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Degenerate Diffusion Processes in Portfolio Management
Lehoczky, John P. - 2020
can distribute his wealth between two investments, one risky and the other risk-free. He can also consume his wealth, and …
Persistent link: https://www.econbiz.de/10012833277
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Integrating Equipment Investment Strategy with Maintenance Operations under Uncertain Failures
Bensoussan, Alain; Feng, Qi; Sethi, Suresh - 2011
This paper studies the issue of coordinating equipment maintenance operations with capital investment strategy in the presence of random equipment failures. This problem represents an important extension of the celebrated Kamien and Schwartz (KS) paper published in Management Science. The...
Persistent link: https://www.econbiz.de/10014046640
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Optimal Investment Policy : An Application of Stokes' Theorem
Sethi, Suresh - 2014
An application of the Stokes' theorem is illustrated by solving the two state problem, with inequality constraints, of Dobell and Ho concerning the optimal investment of resources. Whenever applicable, the Stokes' theorem approach seems to be elegant and parsimonious
Persistent link: https://www.econbiz.de/10013071076
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Integrated Marketing Communications in Markets with Uncertainty and Competition
Prasad, Ashutosh - 2010
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...
Persistent link: https://www.econbiz.de/10012760419
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Optimal Capacity Expansion Under Uncertainty
Davis, Mark H.A; Dempster, M.A.H; Sethi, Suresh; Vermes, D. - 2020
expansion project. Optimization is studied by methods of stochastic control theory. Numerical algorithms are presented which …
Persistent link: https://www.econbiz.de/10014097781
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Optimal Consumption and Investment Policies Allowing Consumption Constraints and Bankruptcy
Lehoczky, John P. - 2011
function for wealth may have convex portions, thus the agent may be risk seeking. The paper gives a complete treatment of the …
Persistent link: https://www.econbiz.de/10012756723
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Infinite-Horizon Investment Consumption Model with a Nonterminal Bankruptcy
Sethi, Suresh - 2010
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...
Persistent link: https://www.econbiz.de/10012759512
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Optimal Consumption and Portfolio Decisions with Partially Observed Real Prices
Bensoussan, Alain - 2009
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...
Persistent link: https://www.econbiz.de/10012767081
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Risk-Aversion Behavior in Consumption/Investment Problems
Presman, Ernst - 2019
In this paper, we study the risk-aversion behavior of an agent in the dynamic framework of consumption … the special case treated in the paper. Coefficients of absolute and relative risk aversion are defined to be the well … problem. Through an analysis of these coefficients, we show how the change in agent's risk aversion as his wealth changes …
Persistent link: https://www.econbiz.de/10012746454