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- Dokumenttyp:
- Buchbeitrag
- Autor(en):
- Klüppelberg, C. and Pergamenshchikov, S.
- Künstler (Werkautoren):
- Albrecher, H., Runggaldier, W. and Schachermayer, W. (Eds.)
- Titel:
- Optimal consumption and investment with bounded downside risk measures for logarithmic utility functions
- Abstract:
- We investigate optimal consumption problems for a Black–Scholes market under uniform restrictions on Value-at-Risk and Expected Shortfall for logarithmic utility functions. We find the solutions in terms of a dynamic strategy in explicit form, which can be compared and interpreted. This paper continues our previous work, where we solved similar problems for power utility functions.
- Seitenangaben Beitrag:
- 245-273
- Stichworte:
- Black–Scholes model, capital-at-risk, expected shortfall, logarithmic utility, optimal consumption, portfolio optimisation, utility maximisation, value-at-risk.
- Buchtitel:
- Albrecher, H., Runggaldier, W. and Schachermayer, W.: Advanced Financial Modelling
- Verlag / Institution:
- Walter de Gruyter
- Jahr:
- 2009
- Sprache:
- en
- WWW:
- http://econpapers.repec.org/paper/arxpapers/1002.2486.htm
- Semester:
- WS 09-10
- Format:
- Text
BibTeX