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. Apart from consumption the agent has the possibility to invest initial capital and random endowment in a market where stock-prices are semimartingales. We formulate this as a maximin problem that will be solved by duality methods.

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Year of publication:	2006
Authors:	Wittmüß, Wiebke
Publisher:	Berlin : Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
Subject:	duality theory \| risk measures \| optimal consumption \| model uncertainty

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Series:	SFB 649 Discussion Paper ; 2006-063
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	518456870 [GVK] hdl:10419/25146 [Handle] RePEc:zbw:sfb649:sfb649dp2006-063 [RePEc]
Classification:	D11 - Consumer Economics: Theory ; D81 - Criteria for Decision-Making under Risk and Uncertainty
Source:	EconStor

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010263652