Worst-Case Consumption-Portfolio Optimization

We investigate worst-case optimal consumption and portfolio decisions under the threat of a market crash. In an infinite-horizon setting, we provide an explicit solution for constant relative risk aversion and establish a rigorous verification result. Moreover, we find a dual characterization of the optimal strategy and quantify the impact of the crash on consumption and portfolio choice

MoreLess

Year of publication:	2013
Authors:	Desmettre, Sascha
Other Persons:	Korn, Ralf (contributor) ; Seifried, Frank Thomas (contributor)
Publisher:	[2013]: [S.l.] : SSRN
Subject:	Theorie \| Theory \| Portfolio-Management \| Portfolio selection

freely available

Full text |

More access options

doi.org

Check Google Scholar

In German libraries (KVK)

I need help

Which error do you want to report?

Report: URL of this record is broken

Please note: Sometimes more than one URL is available for a resource. Please click on "More Options" to display these URLs

Report: Addition of an URL to that resource

Please note: Sometimes more than one URL is available for a resource. Please click on "More Options" to display these URLs

Report: The language(s) of that resource is/are…

Please note: Required language not in the list? Please use comment field

Report: Addition of an identifier to that resource

Report: report typo

Report: Add statement

Report: Add keywords

Please use the commentary box to describe other errors

Would you like to receive a feedback?

Commentary

Please type the code from the image

For general questions please use this address.

Persistent link: https://www.econbiz.de/10013084591