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Document type:
Buchbeitrag 
Author(s):
Klüppelberg, C., Pergamenchtchikov, S. 
Artist:
Delbaen, F., Rásonyi, M. and Stricker, C. (Eds.) 
Title:
Optimal consumption and investment with bounded downside risk for power utility functions 
Pages contribution:
133-169 
Abstract:
We investigate optimal consumption and investment problems for a Black- Scholes market under uniform restrictions on Value-at-Risk and Expected Shortfall. We formulate various utility maximization problems,which can be solved explicitly. We compare the optimal solutions in form of optimal value, optimal control and optimal wealth to analogous problems under additional uniform risk bounds. Our proofs are partly based on solutions to Hamilton-Jacobi-Bellman equations, and we prove a co...    »
 
Keywords:
Portfolio optimization, Stochastic optimal control, Risk constraints, Value-at-Risk, Expected Shortfall 
Book title:
Delbaen, F., Rásonyi, M. and Stricker, C.: Optimality and Risk - Modern Trends in Mathematical Finance 
Publisher:
Springer 
Publisher address:
Berlin 
Year:
2009 
Reviewed:
ja 
Language:
en 
Semester:
SS 09 
Format:
Text