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Theory of dynamic portfolio choice for survival under uncertainty

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  • Roy S.

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Bibliographic Info

Article provided by Elsevier in its journal Mathematical Social Sciences.

Volume (Year): 31 (1996)
Issue (Month): 1 (February)
Pages: 61-62

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Handle: RePEc:eee:matsoc:v:31:y:1996:i:1:p:61-62

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Web page: http://www.elsevier.com/locate/inca/505565

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References

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  1. Lippman, Steven A & McCall, John J & Winston, Wayne L, 1980. "Constant Absolute Risk Aversion, Bankruptcy, and Wealth-Dependent Decisions," The Journal of Business, University of Chicago Press, vol. 53(3), pages 285-96, July.
  2. E. Presman & S. Sethi, 1991. "ERRATUM: risk-Aversion Behavior In Consumption/Investment Problems," Mathematical Finance, Wiley Blackwell, vol. 1(3), pages ii-ii.
  3. March, James G., 1988. "Variable risk preferences and adaptive aspirations," Journal of Economic Behavior & Organization, Elsevier, vol. 9(1), pages 5-24, January.
  4. E. Presman & S. Sethi, 1991. "Risk-Aversion Behavior In Consumption/Investment Problems," Mathematical Finance, Wiley Blackwell, vol. 1(1), pages 100-124.
  5. Pyle, David H & Turnovsky, Stephen J, 1970. "Safety-First and Expected Utility Maximization in Mean-Standard Deviation Portfolio Analysis," The Review of Economics and Statistics, MIT Press, vol. 52(1), pages 75-81, February.
  6. Ray, Debraj, 1984. "Intertemporal borrowing to sustain exogenous consumption standards under uncertainty," Journal of Economic Theory, Elsevier, vol. 33(1), pages 72-87, June.
  7. Dutta, Prajit K & Radner, Roy, 1994. "Optimal Principal Agent Contracts for a Class of Incentive Schemes: A Characterization and the Rate of Approach to Efficiency," Economic Theory, Springer, vol. 4(4), pages 483-503, May.
  8. R. C. Merton, 1970. "Optimum Consumption and Portfolio Rules in a Continuous-time Model," Working papers 58, Massachusetts Institute of Technology (MIT), Department of Economics.
  9. Dutta, Prajit K., 1994. "Bankruptcy and expected utility maximization," Journal of Economic Dynamics and Control, Elsevier, vol. 18(3-4), pages 539-560.
  10. Samuelson, Paul A, 1969. "Lifetime Portfolio Selection by Dynamic Stochastic Programming," The Review of Economics and Statistics, MIT Press, vol. 51(3), pages 239-46, August.
  11. Hakansson, Nils H, 1970. "Optimal Investment and Consumption Strategies Under Risk for a Class of Utility Functions," Econometrica, Econometric Society, vol. 38(5), pages 587-607, September.
  12. Majumdar, Mukul & Radner, Roy, 1991. "Linear Models of Economic Survival under Production Uncertainty," Economic Theory, Springer, vol. 1(1), pages 13-30, January.
  13. Mitra, T. & Roy, S., 1990. "On Some Aspects Of Survival Under Production Uncertainty," Papers 432, Cornell - Department of Economics.
  14. Fershtman, Chaim & Judd, Kenneth L & Kalai, Ehud, 1991. "Observable Contracts: Strategic Delegation and Cooperation," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 32(3), pages 551-59, August.
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Cited by:
  1. Li, Zhongfei & Yao, Jing & Li, Duan, 2010. "Behavior patterns of investment strategies under Roy's safety-first principle," The Quarterly Review of Economics and Finance, Elsevier, vol. 50(2), pages 167-179, May.

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