Optimal Entrepreneurial Decisions in a Completely Stochastic Environment
Nils H. Hakansson
Management Science: Theory, 17, March 1971, 427-449.
At each decision point the entrepreneur must decide how to allocate his resources between consumption, life insurance, various investment opportunities, and lending/borrowing. His objective is postulated to be the maximization of expected utility from consumption as long as he lives and from the bequest left upon his death.
Optimal decision functions are obtained in closed form for a class of utility functions; their properties are examined and compared to those of the optimal strategies of less general models.
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