Titlebook: Optimal Consumption and Investment with Bankruptcy; Suresh P. Sethi Book 1997 Springer Science+Business Media New York 1997 Distribution.I

Tailor

Infinite-Horizon Investment Consumption Model with a Nonterminal Bankruptcypossibility 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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Explicit Solution of a General Consumption/Portfolio Problem with Subsistence Consumption and Bankrunalysis allows for general continuously differentiable concave utility functions. The model takes into consideration that consumption must be no smaller than a given subsistence rate and that bankruptcy can occur. Thus the paper generalizes the results of Karatzas, Lehoczky, Sethi and Shreve (1986).

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https://doi.org/10.1007/978-1-4615-6257-3Distribution; Investment; foundation; macroeconomics

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Consumption/Investment Problemsrn on the portfolio as a whole. More specifically, he should select portfolios which are mean-variance efficient in that they minimize portfolio variance for a given expected return; see also Tobin (1958) and Markowitz (1987).

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