Finance and Economics

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Bensoussan, A., Long, H., Perera, S., and Sethi, S.P., "Impulse Control with Random Reaction Periods: A Central Bank Intervention Problem," Operations Research Letters, 40, 2012, 425-430; This paper under the title "Market-Reaction-Adjusted Optimal Central Bank Intervention Policy in a Foreign Exchange Market," Second Place, INFORMS Financial Services Section Best Student Research Paper Award, 2012.

Arrow, K.J., Bensoussan, A., Feng, Q., and Sethi, S.P., "The Genuine Savings Criterion and the Value of Population in an Economy with Endogenous Fertility Rate," Optimal Control of Age-structured Population in Economy, Demography, and the Environment, Series: Routledge Explorations in Environmental Economics, R. Boucekkine, N. Hritonenko, and Y. Yatsenko (Eds.), Routledge (Taylor & Francis, UK), Routledge, New York, 2011, 20-44.

Bensoussan, A., Sethi, S.P., and Chutani, A., "Optimal Cash Management under Uncertainty," Operations Research Letters, 37, 425-429. (abstract)

Bensoussan, A., Keppo, J., and Sethi, S.P., "Optimal Consumption and Portfolio Decisions with Partially Observable Real Prices," Mathematical Finance, April 2009, 19(2), 215-236. (abstract)

Arrow, K.J., Bensoussan, A., Feng, Q., and Sethi, S.P., "Optimal Savings and the Value of Population," Proceedings of the National Academy of Sciences (PNAS), November 20, 2007, 104(47), 18421-18426. (abstract)

Sethi, S.P., and Taksar, M.I., "Optimal Financing of a Corporation Subject to Random Returns: A Summary," Proceedings of 41st IEEE CDC, Las Vegas, NV, December 10-13, 2002, 395-397.

Sethi, S.P., "Optimal Consumption - Investment Decisions Allowing for Bankruptcy: A Brief Survey" in Markov Processes and Controlled Markov Chains, H. Zhenting, J.A. Filar, and A. Chen (Eds.), Kluwer Academic Publishers, Dordrecht, 2002, 371-387.

Sethi, S.P., and Taksar, M.I., "Optimal Financing of a Corporation Subject to Random Returns," Mathematical Finance, 12(2), April 2002, 155-172. (abstract)

Gordon, M.J. and Sethi, S.P., "Consumption and Investment When Bankruptcy is Not a Fate Worse Than Death," in Method, Theory and Policy in Keynes, Essays in honor of Paul Davidson: Volume 3, Philip Arestis (Ed.), Edward Elgar Publishing, Northampton, MA, 1998, 88-108.

Sethi, S.P., "Optimal Consumption - Investment Decisions Allowing for Bankruptcy: A Survey" in Worldwide Asset and Liability Modeling, W.T. Ziemba and J.M. Mulvey (Eds.), Cambridge University Press, Cambridge, U.K., 1998, 387-426.

Cadenillas, A. and Sethi, S.P., "Consumption-Investment Problem with Subsistence Consumption, Bankruptcy, and Random Market Coefficients," Journal of Optimization Theory and Applications, 93, 1997, 243-272. (online)

Sethi, S.P., "When Does the Share Price Equal the Present Value of Future Dividens?," Economic Theory, 8, 1996, 307-319.

Presman, E. and Sethi, S.P., "Distribution of Bankruptcy Time in a Consumption/ Portfolio Problem," Journal of Economic Dynamics and Control, 20, 1996, 471-477. (online)

Sethi, S.P. and Taksar, M.I., "Infinite-Horizon Investment Consumption Model with a Nonterminal Bankruptcy," Journal of Optimization Theory and Applications, 74(2), Aug. 1992, 333-346.

Sethi, S.P., Taksar, M.I. and Presman, E., "Explicit Solution of a General Consumption/Portfolio Problem with Subsistence Consumption and Bankruptcy," Journal of Economic Dynamics and Control, 16, 1992, 747-768; "Erratum," 19, 1995, 1297-1298. (online)

Sethi, S.P., Derzko, N.A. and Lehoczky, J.P., "A Stochastic Extension of the Miller-Modigliani Framework," Mathematical Finance, 1(4), 1991, 57-76; "Erratum," 6(4), October 1996, 407-408.

Presman, E. and Sethi, S.P., "Risk-Aversion Behavior in Consumption/Investment Problems," Mathematical Finance, 1(1), 1991, 101-124; "Erratum," 1(3), July 1991, p. 86.

Sethi, S.P. and Sorger, G., "An Exercise in Modeling of Consumption, Import, and Export of an Exhaustible Resource," Optimal Control Applications and Methods, 11, 1990, 191-196.

Sethi, S.P. and Taksar, M.I., "A Note on Merton's 'Optimum Consumption and Portfolio Rules in a Continuous-Time Model,'" Journal of Economic Theory, 46, 1988, 395-401. (online)

Karatzas, I., Lehoczky, J.P., Sethi, S.P. and Shreve, S., "Explicit Solution of a General Consumption/Investment Problem," Mathematics of Operations Research, 11(2), May 1986, 261-294. (online)

Lehoczky, J.P., Sethi, S.P. and Shreve, S., "A Martingale Formulation for Optimal Consumption/Investment Decision Making," Optimal Control Theory and Economic Analysis 2, G. Feichtinger (Ed.), North-Holland, Amsterdam, 1985, 135-153.

Sethi, S.P., Derzko, N.A. and Lehoczky, J.P., "General Solution of the Stochastic Price-Dividend Integral Equation: A Theory of Financial Valuation," SIAM Journal on Mathematical Analysis, 15(6), Nov. 1984, 1100-1113.

Lehoczky, J.P., Sethi, S.P. and Shreve, S.E., "Optimal Consumption and Investment Policies Allowing Consumption Constraints, Bankruptcy, and Welfare," Mathematics of Operations Research, 8(4), Nov. 1983, 613-636. (online)

Sethi, S.P. and Thompson, G.L., "Planning and Forecast Horizons in a Simple Wheat Trading Model," Operations Research in Progress, G. Feichtinger and P. Kall (Eds.), Reidel Pub. Co., 1982, 203-214.

Sethi, S.P., Derzko, N.A. and Lehoczky, J.P., "Mathematical Analysis of the Miller-Modigliani Theory," Operations Research Letters, 1(4), Sept. 1982, 148-152. (online)

Sethi, S.P. and Lehoczky, J.P., "A Comparison of the Ito and Stratonovich Formulations of Problems in Finance," Journal of Economic Dynamics and Control, 3, 1981, 343-356. (online)

Derzko, N.A. and Sethi, S.P., "Optimal Exploration and Consumption of a Natural Resource: Stochastic Case," International Journal of Policy Analysis, 5(3) Sept. 1981, 185-200.

Derzko, N.A. and Sethi, S.P., "Optimal Exploration and Consumption of a Natural Resource: Deterministic Case," Optimal Control Applications and Methods, 2(1) 1981, 1-21.

Sethi, S.P., "Optimal Depletion of an Exhaustible Resource," Applied Mathematical Modeling, 3, Oct. 1979, 367-378.

Sethi, S.P., Gordon, M.J. and Ingham, B., "Optimal Dynamic Consumption and Portfolio Planning in a Welfare State," TIMS Studies in the Management Science, 11, 1979, 179-196.

Sethi, S.P., "Optimal Equity and Financing Model of Krouse and Lee Corrections and Extensions," Journal of Financial and Quantitative Analysis, 13(3) Sept. 1978, 487-505.

Quirin, G.D., Sethi, S.P. and Todd, J.D., "Market Feedbacks and the Limits to Growth," INFOR, 15(1), Feb. 1977, 1-21. (Also reported by Jean Poulain in the French Canadian Daily La Presse, Oct. 8, 1977.)

Sethi, S.P. and McGuire, T.W., "Optimal Skill Mix: An Application of the Maximum Principle for Systems with Retarded Controls," Journal of Optimization Theory and Applications, 23(2), Oct. 1977, 245-275.

Sethi, S.P., "A Linear Bang-Bang Model of Firm Behavior and Water Quality," IEEE Transactions on Automatic Control, AC-22(5), Oct. 1977, 706-714.(online)

Sethi, S.P., "Optimal Investment Policy: An Application of Stoke's Theorem," Journal of Optimization Theory and Applications, 18(2), Feb. 1976, 229-233.

Largay, J. and Sethi, S.P., "A Simplified Control Theoretic Approach to Gift and Estate Tax Planning," Proceedings of the Midwest AIDS Conference, Detroit, May 6-7, 1976, 217-220.

Brooks, R., Luan, P., Pritchett, J. and Sethi, S.P., "Examples of Dynamic Optimal Entry into a Monopoly," SCIMA: Journal of Management Science and Applied Cybernetics, 3(1), 1974, 1-8.

Sethi, S.P., "Note on Modeling Simple Dynamic Cash Balance Problems," Journal of Financial and Quantitative Analysis, 8, Sept. 1973, 685-687; "Errata," 13, Sept. 1978, 585-586.

McGuire, T. and Sethi, S.P., "Optimal and Market Control in a Dynamic Economic System with Endogenous Heterogeneous Labor," Proceedings of the IFORS/IFAC International Conference, Coventry, England, July 9-12, 1973, IEE Conference Publication No. 101, 172-185.

Sethi, S.P., "A Useful Transformation of Hamiltonians Occurring in Optimal Control Problems in Economic Analyses," Journal of Management Science and Applied Cybernetics, 2(3), 1973, 115-131.

Sethi, S.P., "A Note on a Planning Horizon Model of Cash Management," Journal of Financial and Quantitative Analysis January 1971, 6(1), 659-664.

Sethi, S.P. and Thomson, G.L., "Applications of Mathematical Control Theory to Finance: Modeling Simple Dynamic Cash Balance Problems," Journal of Financial and Quantitative Analysis, Dec. 1970, 5(4&5), 381-394.

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