Robust Optimization of Consumption with Random Endowment

We consider the problem of optimal consumption for an investor who is risk and uncertainty avers. We model these preferences of the investor with the help of a convex risk-measure...

Year of publication:	2006-07-21
Authors:	Wittmüß, Wiebke
Institutions:	Sonderforschungsbereich Ökonomisches Risiko <Berlin>
Subject:	Unsicherheit \| Verbrauch \| Risikomessung

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Extent:	505856 bytes 28 p. application/pdf
Series:	Humboldt-Universität zu Berlin - Sonderforschungsbereich 649 - Discussion Papers SFB 649 Discussion Paper ; 2006-063
Type of publication:	Book / Working Paper
Language:	English
ISSN:	1860-5664
Classification:	D11 - Consumer Economics: Theory ; D81 - Criteria for Decision-Making under Risk and Uncertainty ; Employment of capital, capital investment planning and estimate of investment profitability ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

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