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Maximizing Utility of Consumption Subject to a Constraint on the Probability of Lifetime Ruin

In this note, we explicitly solve the problem of maximizing utility of consumption (until the minimum of bankruptcy and the time of death) with a constraint on the probability of lifetime ruin, which can be interpreted as a risk measure on the whole path of the wealth process.
Year of publication:
2012-06
Authors: Bayraktar, Erhan ; Young, Virginia R.
Institutions: arXiv.org
Extent:
application/pdf
Series:
Type of publication: Book / Working Paper
Notes:
Published in Finance and Research Letters, (2008), 5 (4), 204-212
Source:
Persistent link: https://www.econbiz.de/10010600090
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