Explicit solution of a general consumption/portfolio problem with subsistence consumption and bankruptcy. (English) Zbl 0762.90005
J. Econ. Dyn. Control 16, No. 3-4, 747-768 (1992); erratun ibid. 19, No. 5-7, 1297-1298 (1995).
Summary: This paper solves a general continuous-time single-agent consumption and portfolio decision problem with subsistence consumption in closed form. The analysis 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 I. Karatzas, J. Lehoczky, S. Sethi and S. Shreve [Math. Oper. Res. 11, 261-294 (1986)].
MSC:
| 91B28 | Finance etc. (MSC2000) |
| 91B62 | Economic growth models |
| 91B42 | Consumer behavior, demand theory |
References:
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