Optimal Consumption-Investment Decisions Allowing for Bankruptcy: A Survey
نویسنده
چکیده
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. Models with nonnegative consumption, positive subsistence consumption, risky assets modeled by geometric Brownian motion or semimartingales are discussed. The paper concludes with suggestions for open research problems.
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