Optimal Consumption-Investment Decisions Allowing for Bankruptcy: A Survey

Abstract

This paper surveys the research on optimal consumption and investment problem of an agent who is subject to bankruptcy that has a speciied utility (reward or penalty). The bankruptcy utility, modeled by a parameter, may be the result of welfare subsidies, the agent's innate ability to recover from bankruptcy, psychic costs associated with bankruptcy, etc… (More)

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@inproceedings{Sethi1995OptimalCD, title={Optimal Consumption-Investment Decisions Allowing for Bankruptcy: A Survey}, author={Suresh P. Sethi}, year={1995} }