Optimal Consumption and Investment with Bankruptcy

Abstract

Foreword Harry M. Markowitz. Preface. Part I: Introduction. 1. Consumption/Investment Problems. Part II: Models with Constant Market Parameters and Nonnegative Consumption. 2. Explicit Solution of a General Consumption/Investment Problem. 3. A Note on Merton's `Optimum Consumption and Portfolio Rules in a Continuous-Time Model'. 4. Infinite-Horizon Investment Consumption Model with a Nonterminal Bankruptcy. 5. Risk-Aversion Behavior in Consumption/Investment Problems. Part III: Models with Constant Market Parameters and Positive Subsistence Consumption. 6. Explicit Solution of a General Consumption/Portfolio Problem with Subsistence Consumption and Bankruptcy. 7. Distribution of Bankruptcy Time in a Consumption/Portfolio Problem. 8. Risk-Aversion Behavior in Consumption/Investment Problems with Subsistence Consumption. 9. Consumption Behavior in Investment/Consumption Problems. 10. Equivalence of Objective Functionals in Infinite Horizon and Random Horizon Problems. 11. A Contribution to the Micro Foundation for Keynesian Macroeconomic Models. Part IV: Models with More General Markets and Positive Subsistence Consumption. 12. The Consumption-Investment Problem with Subsistence Consumption, Bankruptcy, and Random Market Coefficients. Part V: Models with Constant Market Parameters, Positive Subsistence Consumption and Borrowing/Shortselling Constraints. 13. Optimal Dynamic Consumption and Portfolio Planning in a Welfare State. 14. Optimal Consumption and Investment Policies Allowing Consumption Constraints, Bankruptcy and Welfare. 15. A Martingale Formulation for Optimal Consumption/Investment Decision Making. Part VI: Conclusions. 16. Concluding Remarks and Open Research Problems. Author Index. Copyright Permissions.