Maximizing utility of consumption subject to a constraint on the probability of lifetime ruin

In this paper, 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.

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Year of publication:	2008
Authors:	Bayraktar, Erhan ; Young, Virginia R.
Published in:	Finance Research Letters. - Elsevier, ISSN 1544-6123. - Vol. 5.2008, 4, p. 204-212
Publisher:	Elsevier
Keywords:	Utility maximization from consumption Probability of lifetime ruin constraint Nonconvex risk constraint on the entire path of the wealth process

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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