Optimal consumption and investment with bounded downside risk measures for logarithmic utility functions

We investigate optimal consumption problems for a Black-Scholes market under uniform restrictions on Value-at-Risk and Expected Shortfall for logarithmic utility functions. We find the solutions in terms of a dynamic strategy in explicit form, which can be compared and interpreted. This paper continues our previous work, where we solved similar problems for power utility functions.

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Year of publication:	2010-02
Authors:	Kluppelberg, Claudia ; Pergamenchtchikov, Serguei
Institutions:	arXiv.org

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Extent:	application/pdf
Series:	Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Published in Optimal consumption and investment with bounded downside risk measures for logarithmic utility functions (2009) 428
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10008522439