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Books > Business & Economics > Business & management > Management & management techniques > Operational research
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Optimal Consumption and Investment with Bankruptcy (Paperback, Softcover reprint of the original 1st ed. 1997)
Loot Price: R4,534
Discovery Miles 45 340
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Optimal Consumption and Investment with Bankruptcy (Paperback, Softcover reprint of the original 1st ed. 1997)
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This book presents papers on continuous-time consumption investment
models by Suresh Sethi and various co-authors. Sir Isaac Newton
said that he saw so far because he stood on the shoulders of gi
ants. Giants upon whose shoulders Professor Sethi and colleagues
stand are Robert Merton, particularly Merton's (1969, 1971, 1973)
seminal papers, and Paul Samuelson, particularly Samuelson (1969).
Karatzas, Lehoczky, Sethi and Shreve (1986), henceforth KLSS, re
produced here as Chapter 2, reexamine the model proposed by Mer
ton. KLSS use methods of modern mathematical analysis, taking care
to prove the existence of integrals, check the existence and (where
appro priate) the uniqueness of solutions to equations, etc. KLSS
find that un der some conditions Merton's solution is correct;
under others, it is not. In particular, Merton's solution for aHARA
utility-of-consumption is correct for some parameter values and not
for others. The problem with Merton's solution is that it sometimes
violates the constraints against negative wealth and negative
consumption stated in Merton (1969) and presumably applicable in
Merton (1971 and 1973). This not only affects the solution at the
zero-wealth, zero-consumption boundaries, but else where as well.
Problems with Merton's solution are analyzed in Sethi and Taksar
(1992), reproduced here as Chapter 3."
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