Optimal Consumption and Investment with Bankruptcy

Suresh P. Sethi

ISBN 10: 1461378710 / ISBN 13: 9781461378716

Published by Springer US Okt 2012, 2012

About this Item

This item is printed on demand - it takes 3-4 days longer - Neuware -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. 452 pp. Englisch.

Seller Inventory # 9781461378716

Bibliographic Details

• Title: Optimal Consumption and Investment with Bankruptcy
• Publisher: Springer US Okt 2012
• Publication Date: 2012
• Language: English
• ISBN 10: 1461378710
• ISBN 13: 9781461378716
• Binding: Taschenbuch
• Condition: Neu
• Dimensions: 235W x 155H x 25D millimeters 235 millimeters width by 155 millimeters height by 25 millimeters depth
• Weight: 680 grams

About this title

Synopsis

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.