Abstract
In this book we have presented extensive research that has been carried out on the single-agent consumption/investment problems that explicitly incorporate bankruptcy. Models presented involve fairly general constraints such as a lower bound on the consumption rate or limits on the amount borrowed.
This is a preview of subscription content, log in via an institution to check access.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Preview
Unable to display preview. Download preview PDF.
Similar content being viewed by others
References
Abrams, R. A. and Karmarkar, U. S. (1980). Optimal Multiperiod Investment-Consumption Policies. Econometrica 48 333–353.
Akian, M., Menaldi, J. L. and Sulem, A. (1996). On an Investment-Consumption Model with Transaction Costs. SIAM Journal on Control and Optimization 34 329–364.
Barron, E. N. and Jensen, R. (1990). A Stochastic Control Approach to the Pricing of Options. Mathematics of Operations Research 15 49–79.
Black, F. and Scholes, M. (1973). The Pricing of Options and Corporate Liabilities. Journal of Political Economy 81 637–654.
Brock, W. (1982). Asset Prices in a Production Economy. In The Economics of Information and Uncertainty, J. McCall (ed.), University of Chicago Press, Chicago, IL, 1–46.
Davis, M. H. A. and Norman, A. (1990). Portfolio Selection with Transaction Costs. Mathematics of Operations Research 15 676–713.
Duffie, D. (1996). Dynamic Asset Pricing Theory. Second Edition. Princeton University Press, Princeton, NJ.
Duffie, D., Fleming, W., Soner, H. M., and Zariphopoulou, T. (1996). Hedging in Incomplete Markets with HARA Utility. Journal of Economic Dynamics and Control, to appear.
Duffie, D. and Zame, W. (1989). The Consumption-Based Capital Asset Pricing Model. Econometrica 57 1279–1298.
Duncan, T. E., Faul, M., Pasik-Duncan, B. and Zane, O. (1994). On the Stochastic Adaptive Control of an Investment Model with Transaction Fees. Ulam Quarterly 4 1–15.
Duncan, T. E. and Pasik-Duncan, B. (1989). Adaptive Control of Continuous-Time Portfolio and Consumption Model. Journal of Optimization Theory and Applications 61 47–52.
El Karoui, N. and Jeanblanc-Picqué, M. (1996). Optimization of Consumption with Labor Income, Working Paper, Université d’Evry, 91025 Evry Cedex, France.
Fitzpatrick, B. G. and Fleming, W. H. (1991). Numerical Methods for an Optimal Investment-Consumption Model. Mathematics of Operations Research 16, 823–841.
Fleming, W. H. and Soner, H. M. (1992). Controlled Markov Processes and Viscosity Solutions. Springer-Verlag, New York, NY.
Fleming, W. H. and Zariphopoulou, T. (1991). An Optimal Investment/Consumption Model with Borrowing. Mathematics of Operations Research 16 802–822.
Gordon, M. J. (1994). Finance, Investment and Macroeconomics: The Neoclassical and a Post Keynesian Solution. Edward Elgar, Brookfield, VT.
He, H. and Pagès, H. (1993). Labor Income, Borrowing Constraints and Equilibrium Asset Prices: A Duality Approach. Economic Theory 3 663–696.
He, H. and Pearson, N. (1991). Consumption and Portfolio Policies with Incomplete Markets and Short-Sale Constraints: The Infinite Dimensional Case. Journal of Economic Theory 54 259–304.
Karatzas, I., Lehoczky, J. and Shreve, S. (1990). Existence and Uniqueness of Multi-Agent Equilibrium in a Stochastic, Dynamic Consumption/Investment Model. Mathematics of Operations Research 15 80–128.
Karatzas, I., Lehoczky, J. and Shreve, S. (1991). Equilibrium Models with Singular Asset Prices. Mathematical Finance 1(3) 11–29.
Karatzas, I., Lehoczky, J., Shreve, S. and Xu, G. (1991). Martingale and Duality Methods for Utility Maximization in an Incomplete Market. SIAM Journal on Control and Optimization 29 702–730.
Karatzas, I. and Xue, X.-X. (1991). A Note on Utility Maximization Under Partial Observations. Mathematical Finance 1(2) 57–70.
Lucas, R. (1978). Asset Prices in an Exchange Economy. Econometrica 46 1429–1445
Markowitz, H. M. (1985). Private Correspondence.
Samuelson, P. A. (1989). A Case at last for Age-Phased Reduction in Equity. Proceedings of the National Academy of Science 86 9048–9051.
Shreve, S. and Soner, M. (1994). Optimal Investment and Consumption with Transaction Costs. Annals of Applied Probability 4 609–692.
Vila, J. L. and Zariphopoulou, T. (1996). Optimal Consumption and Portfolio Choice with Borrowing Constrains. Journal of Economic Theory, to appear.
Zariphopoulou, T. (1992). Investment-Consumption Models with Transaction Fees and Markov Chain Parameters. SIAM Journal on Control and Optimization 30 613–636.
Zariphopoulou, T. (1994). Consumption-Investment Models with Constraints. SIAM Journal on Control and Optimization 32 59–85.
Rights and permissions
Copyright information
© 1997 Springer Science+Business Media New York
About this chapter
Cite this chapter
Sethi, S.P. (1997). Concluding Remarks and Open Research Problems. In: Optimal Consumption and Investment with Bankruptcy. Springer, Boston, MA. https://doi.org/10.1007/978-1-4615-6257-3_16
Download citation
DOI: https://doi.org/10.1007/978-1-4615-6257-3_16
Publisher Name: Springer, Boston, MA
Print ISBN: 978-1-4613-7871-6
Online ISBN: 978-1-4615-6257-3
eBook Packages: Springer Book Archive