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Optimal Consumption and Investment with Bankruptcy (Hardcover, 1997 ed.) Loot Price: R3,784
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Optimal Consumption and Investment with Bankruptcy (Hardcover, 1997 ed.): Suresh P. Sethi
Optimal Consumption and Investment with Bankruptcy (Hardcover, 1997 ed.): Suresh P. Sethi

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Optimal Consumption and Investment with Bankruptcy (Hardcover, 1997 ed.)

Suresh P. Sethi; Foreword by Harry M. Markowitz

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List price R4,009 Loot Price R3,784 Discovery Miles 37 840 | Repayment Terms: R352 pm x 12* You Save R225 (6%)

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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.

General

Imprint: Springer
Country of origin: Netherlands
Release date: November 1996
First published: 1997
Authors: Suresh P. Sethi
Foreword by: Harry M. Markowitz
Dimensions: 235 x 155 x 25mm (L x W x T)
Format: Hardcover
Pages: 428
Edition: 1997 ed.
ISBN-13: 978-0-7923-9755-7
Barcode: 9780792397557
Categories: Books > Business & Economics > Business & management > Management of specific areas > Budgeting & financial management
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LSN: 0-7923-9755-X

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