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Theory of dynamic portfolio choice for survival under uncertainty

  • Roy, Santanu

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File URL: http://www.sciencedirect.com/science/article/pii/0165-4896(95)00783-I
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Article provided by Elsevier in its journal Mathematical Social Sciences.

Volume (Year): 30 (1995)
Issue (Month): 2 (October)
Pages: 171-194

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Handle: RePEc:eee:matsoc:v:30:y:1995:i:2:p:171-194
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/505565

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  1. Dutta, Prajit K., 1994. "Bankruptcy and expected utility maximization," Journal of Economic Dynamics and Control, Elsevier, vol. 18(3-4), pages 539-560.
  2. Merton, Robert C., 1971. "Optimum consumption and portfolio rules in a continuous-time model," Journal of Economic Theory, Elsevier, vol. 3(4), pages 373-413, December.
  3. Ray, Debraj, 1984. "Intertemporal borrowing to sustain exogenous consumption standards under uncertainty," Journal of Economic Theory, Elsevier, vol. 33(1), pages 72-87, June.
  4. 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.
  5. Mitra, Tapan & Roy, Santanu, 1993. "On Some Aspects of Survival under Production Uncertainty," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 3(3), pages 397-411, July.
  6. 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.
  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;Society for the Advancement of Economic Theory (SAET), vol. 4(4), pages 483-503, May.
  8. E. Presman & S. Sethi, 1991. "ERRATUM: risk-Aversion Behavior In Consumption/Investment Problems," Mathematical Finance, Wiley Blackwell, vol. 1(3), pages ii-ii.
  9. 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.
  10. E. Presman & S. Sethi, 1991. "Risk-Aversion Behavior In Consumption/Investment Problems," Mathematical Finance, Wiley Blackwell, vol. 1(1), pages 100-124.
  11. 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.
  12. 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.
  13. March, James G., 1988. "Variable risk preferences and adaptive aspirations," Journal of Economic Behavior & Organization, Elsevier, vol. 9(1), pages 5-24, January.
  14. Majumdar, Mukul & Radner, Roy, 1991. "Linear Models of Economic Survival under Production Uncertainty," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 1(1), pages 13-30, January.
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