Linear Models of Economic Survival under Production Uncertainty

Mukul Majumdar and Roy Radner

Economic Theory, 1991, vol. 1, issue 1, 13-30

Abstract: In this paper we consider the situation of an investor facing uncertainty, and whose objective is to survive. First we characterize the probability of survival of a passive agent who does not attempt to influence the evolution of the environment. Secondly, we look at an active agent who chooses investment opportunities affecting his fortune and who attempts to maximize the probability of survival. It is shown that, in some cases, the optimal investment policy will exhibit a risk-loving behavior whenever his fortune is below a critical level.

Date: 1991
References: Add references at CitEc
Citations: View citations in EconPapers (12)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Working Paper: LINEAR MODELS OF ECONOMIC SURVIVAL UNDER PRODUCTION UNCERTAINTY (1990)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:joecth:v:1:y:1991:i:1:p:13-30

Ordering information: This journal article can be ordered from
http://www.springer. ... eory/journal/199/PS2

Access Statistics for this article

Economic Theory is currently edited by Nichoals Yanneils

More articles in Economic Theory from Springer, Society for the Advancement of Economic Theory (SAET) Contact information at EDIRC.
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().