Finance and Economics

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  1. Bensoussan, A., and Sethi, S.P., "Optimal Investment-Consumption Decisions With Partially Observed Inflation: A Discrete-Time Formulation," Essays in honor of Christophe Deissenberg, J. Arifrovic and H. Dawid (Eds.), Vol. 26 in Series: Dynamic Modeling and Econometrics in Economics and Finance, Springer International Publishing Switzerland, 2021, 59-80.(SSRN)
  2. Sethi, S.P., "Extension of the Miller and Modigliani Theory to Allow for Share Repurchases," Mathematical Finance Letters, Vol 2017 (2017), Article ID 3.(SSRN)
  3. 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.(SSRN)
  4. 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. (SSRN)
  5. Bensoussan, A., Sethi, S.P., and Chutani, A., "Optimal Cash Management under Uncertainty," Operations Research Letters, 37, 425-429.(SSRN)
  6. 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.(SSRN)
  7. 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.(SSRN)
  8. 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.(SSRN)
  9. 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.(SSRN)
  10. Sethi, S.P., and Taksar, M.I., "Optimal Financing of a Corporation Subject to Random Returns," Mathematical Finance, 12(2), April 2002, 155-172.(SSRN)
  11. 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.
  12. 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.(SSRN)
  13. 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.(SSRN)
  14. Cadenillas, A. and Sethi, S.P., "Consumption-Investment Problem with Subsistence Consumption, Bankruptcy, and Random Market Coefficients," Chapter 12 in Sethi, S.P., Optimal Consumption and Investment with Bankruptcy, Kluwer, Norwell, MA, 1997, 247-280.(SSRN Book Link)
  15. Presman, E. and Sethi, S.P., "Consumption Behavior in Investment/Consumption Problems with Bankruptcy," Chapter 9 in Sethi, S.P., Optimal Consumption and Investment with Bankruptcy, Kluwer, Norwell, MA, 1997, 185-205.(SSRN Book Link)
  16. Presman, E. and Sethi, S.P., "Equivalence of Objective Functionals in Infinite Horizon and Random Horizon Problems,"Chapter 10 in Sethi, S.P., Optimal Consumption and Investment with Bankruptcy, Kluwer, Norwell, MA, 1997, 207-216.(SSRN Book Link)
  17. Gordon, M. and Sethi, S.P., "A Contribution to Micro Foundation for Keynesian Macroeconomic Models," Chapter 11 in Sethi, S.P., Optimal Consumption and Investment with Bankruptcy, Kluwer, Norwell, MA, 1997, 217-244.(SSRN Book Link)
  18. Presman, E. and Sethi, S.P.,"Risk-Aversion in Consumption/Investment Problems with Subsistence Consumption and Bankruptcy,"Chapter 8 in Sethi, S.P., Optimal Consumption and Investment with Bankruptcy, Kluwer, Norwell, MA, 1997, 155-184. (SSRN Book Link)
  19. Presman, E. and Sethi, S.P., "Distribution of Bankruptcy Time in a Consumption/Portfolio Problem,"Chapter 7 in Sethi, S.P., Optimal Consumption and Investment with Bankruptcy, Kluwer, Norwell, MA, 1997, 145-154. (SSRN Book Link)
  20. Sethi, S.P., Taksar, M.I., and Presman, E., "Explicit Solution of a General Consumption/Investment Problem with Subsistence Consumption and Bankruptcy,"Chapter 6 in Sethi, S.P., Optimal Consumption and Investment with Bankruptcy, Kluwer, Norwell, MA, 1997, 119-143. (SSRN Book Link)
  21. Sethi, S.P. and Taksar, M.I.,"Infinite-Horizon Investment Consumption Model with a Nonterminal Bankruptcy," Chapter 4 in Sethi, S.P., Optimal Consumption and Investment with Bankruptcy, Kluwer, Norwell, MA, 1997, 67-84. (SSRN Book Link)
  22. Presman, E. and Sethi, S.P., "Risk Aversion in Consumption/Investment Problems," Chapter 5 in Sethi, S.P., Optimal Consumption and Investment with Bankruptcy, Kluwer, Norwell, MA, 1997, 85-116.(SSRN Book Link)
  23. Sethi, S.P. and Taksar, M.I.,"A Note on Merton's 'Optimum Consumption and Portfolio Rules in a Continuous-Time Model," Chapter 3 in Sethi, S.P., Optimal Consumption and Investment with Bankruptcy, Kluwer, Norwell, MA, 1997, 59-65. (SSRN Book Link)
  24. Karatzas, I., Lehoczky, J.P., Sethi, S.P. and Shreve, S.E., "Explicit Solution of a General Consumption/Investment Problem," Chapter 2 in Sethi, S.P., Optimal Consumption and Investment with Bankruptcy, Kluwer, Norwell, MA, 1997, 23-56.(SSRN Book Link)
  25. Lehoczky, J.P., Sethi, S.P. and Shreve, S.E., "A Martingale Formulation for Optimal Consumption/Investment Decision Making," Chapter 15 in Sethi, S.P., Optimal Consumption and Investment with Bankruptcy, Kluwer, Norwell, MA, 1997, 379-406.(SSRN Book Link)
  26. Lehoczky, J.P., Sethi, S.P. and Shreve, S.E., "Optimal Consumption and Investment Policies Allowing Consumption Constraints, Bankruptcy, and Welfare," Chapter 14 in Sethi, S.P., Optimal Consumption and Investment with Bankruptcy, Kluwer, Norwell, MA, 1997, 303-378.(SSRN Book Link)
  27. Sethi, S.P., Gordon, M.J. and Ingham, B., "Optimal Dynamic Consumption and Portfolio Planning in a Welfare State," Chapter 13 in Sethi, S.P., Optimal Consumption and Investment with Bankruptcy, Kluwer, Norwell, MA, 1997, 303-378.(SSRN Book Link)
  28. Sethi, S.P., "Optimal Consumption - Investment Decisions Allowing for Bankruptcy: A Survey" in Proceedings of The First International Conference on Pacific Basin Business and Economics, June 15-16, 1996, National Central University, Chungli, Taiwan, 317-355.(SSRN)
  29. Sethi, S.P.,"When Does the Share Price Equal the Present Value of Future Dividends? - A Modified Dividend Approach," Economic Theory, 8, 1996, 307-319.(SSRN)
  30. Presman, E. and Sethi, S.P.,"Distribution of Bankruptcy Time in a Consumption/Portfolio Problem," Journal Economic Dynamics and Control, 20, 1996, 471-477.(SSRN)
  31. 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.(SSRN)
  32. Sethi, S.P., Taksar, M.I. and Presman, E., Erratum to "Explicit Solution of a General Consumption/Portfolio Problem with Subsistence Consumption and Bankruptcy," Journal of Economic Dynamics and Control, 19, 1995, 1297-1298.
  33. 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.(SSRN)
  34. 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.(SSRN)
  35. 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, 86.(SSRN)
  36. Sethi, S.P. and Sorger, G., "An Exercise in Modeling of Consumption, Import, and Export of an Exhaustible Resource," Optimal Control Applications & Methods, 11, 1990, 191-196.(SSRN)
  37. 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.(SSRN)
  38. Sethi, S.P. and Taksara, M.I., "Optimal Consumption and Investment Policies with Bankruptcy Modeled by a Diffusion with Delayed Reflection," Proceedings of 25th IEEE Conference on Decision and Control, Athens, Greece, Dec. 1986, 267-269.(SSRN)
  39. Sethi, S.P., "Dynamic Optimal Consumption-Investment Problems: A Survey," Proceedings of the 1986 IFAC Workshop on Modelling, Decision and Game with Applications to Social Phenomena, Beijing, China, August 11-15, l986, 116-121.
  40. Karatzas, I., Lehoczky, J.P., Sethi, S.P. and Shreve, S.E.,"Explicit Solution of a General Consumption/Investment Problem," Mathematics of Operations Research, 11(2), May 1986, 261-294.(SSRN)
  41. Karatzas, I., Lehoczky, J.P., Sethi, S.P. and Shreve, S.E.,"Explicit Solution of a General Consumption/Investment Problem," Proceedings of the International Conference on Stochastic Optimization, Kiev, 1984, V. Arkin, A. Shiraev and R. Wets (Eds.), Lecture Notes in Control and Information Sciences, 81, Springer-Verlag, 1986, 59-69.(SSRN)
  42. Karatzas, I., Lehoczky, J.P., Sethi, S.P. and Shreve, S.E.,"Explicit Solution of a General Consumption/Investment Problem," Proceedings of the 3rd Bad Honnef Conference on Stochastic Differential Systems, Bonn, West Germany, Lecture Notes on Control and Information Sciences, Christopeit, N., Helmes, K., and Kohlmann, M.(Eds.), pp. 209-216, Springer-Verlag, June 1985.(SSRN)
  43. Lehoczky, J.P., Sethi, S.P. and Shreve, S.E., "A Martingale Formulation for Optimal Consumption/Investment Decision Making," Optimal Control Theory and Economic Analysis 2, Feichtinger (Ed.), North-Holland, Amsterdam, 1985, 135-153.(SSRN Book Link)
  44. 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.(SSRN)
  45. Sethi, S.P., "A Note on a Simplified Approach to the Valuation of Risky Streams," Operations Research Letters, 3(1), April 1984, 13-17.(SSRN)
  46. Lehoczky, J.P., Sethi, S.P. and Shreve, S.E., "Optimal Consumption and Investment Policies Allowing Consumption Constraints, Bankruptcy," Mathematics of Operations Research, 8(4), Nov. 1983, 613-636.(SSRN)
  47. 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.
  48. Derzko, N.A. and Sethi, S.P., "General Solution of the Price-Dividend Integral Equation," SIAM Journal on Mathematical Analysis, 13(1), Jan. 1982, 106-111.(SSRN)
  49. Lehoczky, J.P., Sethi, S.P. and Shreve, S.E., "Degenerate Diffusion Processes in Portfolio Management," Proceedings of the 1982 American Control Conference, Arlington, VA, June 14-16, 1982.(SSRN)
  50. 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.(SSRN)
  51. 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, 11(2), 1981, 343-356.(SSRN)
  52. 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.
  53. 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.(SSRN)
  54. Bhaskaran, S. and Sethi, S.P., "Planning Horizons for the Wheat Trading Model," Proceedings of AMS 81 Conference, 5: Life, Men, and Societies, 1981, 197-201.
  55. Sethi, S.P., "Optimal Depletion of an Exhaustible Resource," Applied Mathematical Modeling, 3, Oct. 1979, 367-378.(SSRN)
  56. 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.(SSRN Book Link)
  57. 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.(SSRN)
  58. Sethi, S.P., Erratum to "Note on Modeling Simple Dynamic Cash Balance Problems," Journal of Financial and Quantitative Analysis, 8, 13(3), Sept. 1978, 585-586.
  59. 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.)(SSRN)
  60. 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.(SSRN)
  61. 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.(SSRN)
  62. Sethi, S.P., "Optimal Investment Policy: An Application of Stoke's Theorem," Journal of Optimization Theory and Applications, 18(2), Feb. 1976, 229-233.(SSRN)
  63. 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.
  64. 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.
  65. Sethi, S.P. and McGuire, T.W., "An Application of the Maximum Principle to a Heterogenous Labor Model with Retarded Controls," Proceedings of the Fourteenth Biennial Seminar of the Canadian Mathematical Congress, University of Western Ontario, August 12-25, 1973, Optimal Control Theory and its Applications, Part II, B.J. Kirby (Ed.), Lecture Notes in Economics and Mathematical Systems, Vol. 106 , Springer-Verlag, Berlin, 1974, 338-384.(SSRN)
  66. Sethi, S.P., "A Note on Modeling Simple Dynamic Cash Balance Problems," Journal of Financial and Quantitative Analysis, 8, Sept. 1973, 685-687.(SSRN)
  67. 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.(SSRN)
  68. Sethi, S.P., "The Management of a Polluting Firm," Proceedings of the Ninth Annual Meeting of TIMS Southeastern Chapter, Atlanta, GA, Oct. 18-19, 1973, 264-270.
  69. 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.
  70. 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.(SSRN)
  71. 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.(SSRN)