We revisit the optimal capital structure model with endogenous bankruptcy first studied by Leland (1994) and Leland and Toft (1996). Differently from the standard case, where shareholders observe continuously the asset value and bankruptcy is executed instantaneously without delay, we assume...

The optimal capital structure model with endogenous bankruptcy was first studied by Leland (1994) and Leland and Toft (1996), and was later extended to the spectrally negative Levy model by Hilberink and Rogers (2002) and Kyprianou and Surya (2007). This paper incorporates scale effects by...

Tempting to formulate the long-term investment strategy for investors who dynamically adjust her portfolio over her lifetime, we are interested to optimize the end-of-period terminal wealth using Bellman Principles. We designed the portfolio to be replete with risky asset and risk-less...

In this study, the scheme of Dynamic Portfolio consisted of three assets (Stock, Bond and Money account) were generated for investor who want to maximize the discounted expected utility for terminal wealth along finite time horizon in complete market in which inflation rate, interest rate and...

Motivated by observation that seminal work of Samuelson obtaining optimal investment on risky asset which was independent of time and wealth process, in this paper we were replacing the source of uncertainty in the risky asset by binomial process in order to improve the model. Risky asset is...