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http://dx.doi.org/10.7858/eamj.2020.009

DEBTOR'S BANKRUPTCY AND UPPER BOUND ON CONSUMPTION  

Lim, Byung Hwa (Department of Economics and Finance, The University of Suwon)
Lee, Ho-Seok (Department of Mathematics, Kwangwoon University)
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Abstract
This paper obtains an explicit expression for a debtor's consumption, porfolio and time for filing for bankruptcy when the debtor is subject to upper bound on consumption rate. The utility of consumption is CRRA type and the dynamic programming principle is applied.
Keywords
Bankruptcy; consumption; portfolio; CRRA utility; Bellman equation;
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