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...

SFB 649 Discussion Paper 2006-063 Robust Optimization of Consumption with Random Endowment Wiebke Wittmüß* * Institute of Mathematics, Berlin University of Technology, Germany This research was supported by the Deutsche Forschungsgemeinschaft through the SFB...

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...

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...