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Debtor's Bankruptcy and Upper Bound on Consumption
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This paper obtains an explicit expression for a debtor’s con- sumption, porfolio and time for filing for bankruptcy when the debtor is subject to upper bound on consumption rate. The utility of consumption is CRRA type and the dynamic programming principle is applied.
Abstract
This paper obtains an explicit expression for a debtor’s con- sumption, porfolio and time for filing for bankruptcy when the debtor is subject to upper bound on consumption rate. The utility of consumption is CRRA type and the dynamic programming principle is applied.
참고문헌 (10)
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- I. Karatzas, "Explicit solution of a general consumption", investment problem, 1986, pp.(11), 261~294
- Strategic default and post-bankruptcy liquidity constraint, "H. Lee", ~ (2020)
- B. H. Lim, "The effects of pre-", post-retirement downside consump-tion constraints on optimal consumption, portfolio, and retirement, 2018, pp.(25), 213~221
- P. Lakner, "Portfolio optimization with downside constraints", Mathematical Finance, (16), pp.283~299 (2006)
- H. -S. Lee, "An optimal investment, consumption-leisure and voluntary retire-ment choice problem with subsistence consumption constraints", Japan Journal of Indus-trial and Applied Mathematics, (33), pp.297~320 (2016)
- B. H. Lim, "Optimal investment, consumption and retirement choice problem with disutility and subsistence consumption constraints", Journal of Math-ematical Analysis and Applications, 3(345), pp.109~122 (2008)
- Y. H. Shin, "Comparison of optimal portfolios with and without subsistence consumption constraints", Nonlinear Analysis, (74), pp.50~58 (2011)
- Y. H. Shin, "Optimal consumption and portfolio selection prob-lem with downside consumption constraints", Applied Mathematics and Computation, (188), pp.1801~1811 (2007)
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