Optimal Consumption and Investment with Bankruptcy

I. Introduction.- 1. Consumption/Investment Problems.- 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.- 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.- IV: Models with More General Markets and Positive Subsistence Consumption.- 12. The Consumption-Investment Problem with Subsistence Consumption, Bankruptcy, and Random Market Coefficients.- 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.- VI: Conclusions.- 16. Concluding Remarks and Open Research Problems.- Author Index.- Copyright Permissions.