Whether you work in fund management, a business school, or a university economics or
mathematics department, the title of this book, Optimal Investment, promises to be of interest …

We combine a dynamic programming approach (stochastic optimal control) with a multi-
stage stochastic programming approach (MSP) in order to solve various problems in …

Once a debtor files for bankruptcy under Chapter 7, all or some of the unsecured debts are
discharged and the debtor is endowed with a financial fresh start. However, a post …

We study consumption and investment decisions given realistic time-varying constraints on
borrowing. We first consider the case where borrowing is constrained by a maximum debt-to …

We study optimal job switching and consumption/investment policies of an economic agent
under the borrowing constraints against future labor income in a continuous and infinite time …

In this paper we investigate an optimal job, consumption, and investment policy of an
economic agent in a continuous and infinite time horizon. The agent's preference is …

In this paper we study the consumption and portfolio selection problem of a finitely-lived
economic agent with an early retirement option, that is, the agent can choose her/his early …

Retirees meet a number of problems as they are growing older which needs persistent
attention. Hence, without a doubt, the outcomes of the financial markets influence the …

We study an optimal consumption, investment, and retirement decision of an economic
agent with borrowing constraints under a general class of utility functions. We transform the …

This study uses an extended dynamic programming approach to obtain a strategy to
address the housing choice problem based on the loan-to-value (LTV) ratio. Generally …