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Linear models of economic survival under production uncertainty. (English) Zbl 0807.90031

Summary: 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.

MSC:

91B62 Economic growth models
91B38 Production theory, theory of the firm
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