Optimal consumption and investment with bounded downside risk  measures for logarithmic utility functions

Document type:: Buchbeitrag
Author(s):: Klüppelberg, C. and Pergamenshchikov, S.
Artist:: Albrecher, H., Runggaldier, W. and Schachermayer, W. (Eds.)
Title:: Optimal consumption and investment with bounded downside risk measures for logarithmic utility functions
Pages contribution:: 245-273
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.
Keywords:: Black–Scholes model, capital-at-risk, expected shortfall, logarithmic utility, optimal consumption, portfolio optimisation, utility maximisation, value-at-risk.
Book title:: Albrecher, H., Runggaldier, W. and Schachermayer, W.: Advanced Financial Modelling
Publisher:: Walter de Gruyter
Year:: 2009
Language:: en
WWW:: http://econpapers.repec.org/paper/arxpapers/1002.2486.htm
Semester:: WS 09-10
Format:: Text
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