DESMETTRE, SASCHA; KORN, RALF; SEIFRIED, FRANK THOMAS - In: International Journal of Theoretical and Applied … 18 (2015) 01, pp. 1550004-1
We investigate worst-case optimal consumption and portfolio decisions under the threat of a market crash on an infinite time horizon. We provide a closed-form solution for constant relative risk aversion and establish a rigorous verification result. More specifically, using martingale arguments...